DataTaunew | comments | leaders | submitlogin
Probabilistic Programming in Quant Finance using PyMC3 (github.io)
14 points by twiecki 3326 days ago | 6 comments


1 point by radikal 3318 days ago | link

Wouldn't it be helpful to demonstrate why the T distro is a better fit here?

Probability of Model | Data

-----

1 point by twiecki 3316 days ago | link

I did mention this during the talk but you have to read between the lines to get that from the slides. The reason is two-fold: The T-distribution is more robust to outliers, and returns have heavy tails (which increases the chance of extreme values).

And yes, I also did model comparison and the T-distribution explains the data much better. In a talk though visuals tend to work better.

-----

1 point by tfturing 3326 days ago | link

@twiecki Just curious, what led you to be a quant instead of a neuroscientist?

-----

2 points by twiecki 3326 days ago | link

Thanks for asking -- I should write a blog post about that at some point :).

Edit: Although I don't really consider myself a Quant but rather a Data Scientist that works in quant finance at the moment.

-----

1 point by marksimi 3326 days ago | link

Excellent. Is there a complementary talk?

-----

1 point by twiecki 3326 days ago | link

Unfortunately it wasn't recorded.

-----




RSS | Announcements