Jakub Polec’s Post

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20+ yrs in Tech & Finance & Quant | ex-Microsoft/Oracle/CERN | IT / Cloud Architecture Leader | AI/ML Data Scientist | SaaS & Fintech

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. ;)))

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Kelly Lyons

Data Scientist- python, C#, C++, data visualization, time series analysis, probability

2mo

a repo link would be cool. ive used never used gpy. thanks for sharing this

Ian McDevitt

Presidential Scholar | CS @ University of South Carolina

2mo

I literally just thought of something like this the other day! Neat :)

Tomasz Kwiatkowski

CFD engineer & Python developer

2mo

And what are the results?

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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.

Pascal Lemieux

Fin R&D Quant | Python & ML Aficionado | Engineer at Heart | ex-JPMorgan, ex-SocGen

2mo

Jakub, you should write a book! Great stuff

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Drashti Patel

MSc Complex Systems Modelling | Aspiring Quant Analyst | Mathematics Tutor

2mo

Thanks for posting! Having studied Gaussian Process Regression it's great to see an application. What inspired you to use this method?

Guillaume Pellerin

Portfolio manager, ODIEM - Banque Populaire Val de France

2mo

Thanks for sharing! Any particular reason to use GPy instead of scikit-learn's GPR?

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