Project seminar 'The crypto market under the microscope: lags between exchanges and ML-forecast returns'
On February 5, a seminar of the Laboratory of Artificial Intelligence in Mathematical Finance was held.
https://www.cqf.com/financial-mathematics-course
The seminar examined the application of machine learning methods to predicting asset returns in the cryptocurrency market. Special attention is paid to how the quality of forecasts changes with an increase in the prediction horizon, as well as inter-exchange effects. It was shown that the Binance USDM futures market plays a key role in price formation, and other exchanges mainly reflect the dynamics of Binance with a time lag. Based on these observations, approaches to building features and models for predicting returns were discussed.
Speaker: Mikhail Mironov, Research Assistant at the Laboratory of Artificial Intelligence in Mathematical Finance.