Exploiting stock market via the Bayesian nature of Gaussian Process Regression, via mean-variance optimisation with respect to the predictive uncertainty distribution with machine learning models statistically out-of-sample R-squared & Sharpe ratio of prediction-sorted portfolios. ;)))
I literally just thought of something like this the other day! Neat :)
And what are the results?
Jakub Polec, while your code provides a good framework for understanding mean-variance optimization using Gaussian Process Regression (GPR), it's important to note a significant limitation: the use of randomly generated data instead of real historical market data. This approach may lead to unrealistic predictions and overly optimistic Sharpe ratios, as the model lacks exposure to genuine market dynamics, correlations, and achievable performance metrics.
Jakub, you should write a book! Great stuff
Thanks for posting! Having studied Gaussian Process Regression it's great to see an application. What inspired you to use this method?
Thanks for sharing! Any particular reason to use GPy instead of scikit-learn's GPR?
Data Scientist- python, C#, C++, data visualization, time series analysis, probability
2moa repo link would be cool. ive used never used gpy. thanks for sharing this