Our next meeting is scheduled for 7/16/17 (Sunday) at 5pm in San Francisco on the 2nd floor lounge of the Marriott Marquis (780 Mission Street). See here for more information about the venue. Once you enter the hotel, go to the 2nd floor using the escalator and you will see a lounge with sofas and tables. Feel free to send an email if you have trouble finding it.
Our goal for next time is to create a simple wavelet model and apply it to the Mandelbrot market model:
- Find a candidate historical time-series dataset of some traded asset.
- Select and implement a simple wavelet model.
- Attempt to replicate the findings in the Berghorn paper.
Feel free to comment below with your questions.