Stock-Densities

OKRs: Data collection

• Collect minute level market data for SPY
• Calculate deltas

Density Estimation

• Decide on a density estimation method (or two)
• MAP estimation (Gaussian & Fat tailed)
• KDEs
• Mixture models
• Log-Spline model
• Implement chosen density estimation model

Time Series Estimation

• Decide on time series estimation method depending on density technique
• ARIMA
• Implement chosen time series model

Evaluation

• Evaluate using Kolmogorov-Smirnov Testing
• Compare estimations between time frames with KL-Divergence and Wasserstein Metric
• Build system w/ simple strategy to paper trade

Reach Goals

• Online Model
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