produvia / kryptos

Kryptos AI is a virtual investment assistant that manages your cryptocurrency portfolio
http://twitter.com/kryptos_ai
MIT License
48 stars 8 forks source link

Structural Breaks #94

Open slavakurilyak opened 6 years ago

slavakurilyak commented 6 years ago

Goals

As a machine learning developer, I want to use machine learning to determine structural breaks (whenever an observation is drawn from a distribution that happens to be very different from the distributions that have been observed in the past), so that I can better detect change in time-series data.

Inspiration

screen shot 2018-07-08 at 10 26 06 pm

Most quantitative models are "fit to fail". -Marcos Lopez de Prado

Source: (New frontiers: Marcos Lopez de Prado on Machine Learning for finance, 2018)