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Back-testing a support vector machine -based text classification system that models daily stock news, looking for mispriced volatility. A big stealth project, w
by bgimpert 17y ago
Back-testing a support vector machine -based text classification system that models daily stock news, looking for mispriced volatility. A big stealth project, with just the Ruby option pricer here:
http://tinyurl.com/chmk7p http://tinyurl.com/chmk7p
Need much more realism than Black-Scholes for the model training!