Copulas - A Powerful Tool in Statistical Arbitrage

[@paranjaysharma3023]

Absolutely great video by a great teacher. Thanks Shawn for the constant video contents.

[@Tarek-j6b4w]

Given normal marginals and normal copula the correlation factor actually is equal to Pearson's correlation coefficient. Great video!

[@CryptoWizards]

Awesome! Thank you for confirming!

[@jeremyloustau]

I actually tried to the math by using a Gaussian copula to keep linear interaction but using the student-t distribution that better fit crypto log returns and it's quite problematic for the quantile curve equation as student-t needs a parameter of degree of freedom. Did someone tried to do it ?

[@蔡宏昱-x2s]

Thanks for sharing . Great work!

[@CryptoWizards]

Thank you! 🙏

[@d1m18]

Thank you for sharing. Would be interested in seeing this backtested, seeing those results on many asset classes or even currencies.

[@CryptoWizards]

Coming soon!

[@ryangermain5716]

Solid content my guy, keep it up. Going to run some tests on this for crypto - Ryan

[@CryptoWizards]

Awesome Ryan! Hope the results look promising in your testing!

[@389293912]

Probability over what dimensions? Price? Volume? on chain activity? Leverage levels? Open Interest?

[@CryptoWizards]

Price and returns

[@tristin1969]

Will all the recent videos be part of a full-length course soon?

[@CryptoWizards]

Indeed. Working on it. Hoping to be ready by end of Jan.

[@tristin1969]

@CryptoWizards AWESOME, sign me up! Thanks!

[@proo3968]

Amazing stuff! Do you think the signals from copulas and z-score can be some what similar?

[@CryptoWizards]

Good question. I suppose the spirit of what they are trying to achieve is similar. But also, you might see a spread zscore dramatically change when the price of one asset say plummets vs the other. This might also trigger a conditional probability signal on the Copula.

[@proo3968]

@ yeah, I kinda thought so as well since they both act on mean deviation. Will be waiting your ml research video!

[@shivammavi824]

What about dex bars can we get sol update in that

[@CryptoWizards]

Probably not due to compute limitations. But SUI a possibility

[@vladk9152]

Lot of talk lately about altseason. This might be a good way of creating an indicator to help go risk on or risk off assets. Say we use bitcoin mcap as one asset and OTHERS (crypto mcap excluding top 10) as another asset. We might be able to get a confidence level of the next alt season starting. Just throwing ideas, i'll investigate more about copulas and try to make this.

[@CryptoWizards]

Nice! Definitely post what you make in the chat here somewhere. I hear you on alts. Am hoping SUI keeps rocketing up as felt was way undervalued for some time now.

[@ruslan5583]

hi Shaun! thank you very much for what you are doing, I really like your videos! I want to purchase a subscription to crypto wizards, but I can't do it because stripe doesn't accept payments from my country and I dont have a dollar credit card. please can I get access for cryptocurrency?

[@CryptoWizards]

Sure, just ping me at the website contact and I’ll send you a Crypto link.

[@CryptoWizards]

Thank you for the positive feedback!

[@virenp7030]

Excellent analysis thank you

[@CryptoWizards]

Appreciate the feedback!

[@enver4805]

My brother, your Statistical Arbitrage Bot course is very, very old. I'm sure updating the API usage etc. is a piece of cake for you. But it's really hard for me, please help me. I'm an individual who took the course.

[@jarosawjaskuowski3179]

So if you want to go to a concert in China you have to over pay.

[@boriscrisp518]

great video.. perfect for a romantic evening in

[@CryptoWizards]

Lol!

[@virenp7030]

Excellent analysis thank you