We used bayesian statistics methods with a view to predicting equity market's mouvement. During the backtest (on the S&P 500 index), we obtained a performance of +1.83% on a 10 days period.
This repository hosts the project for the Bayesian Statistics course at ENSAE, made by Nathan BRY & Bertrand VUILLEMOT. It contains :
- The report describing the rationale of the bayesian model and the results of backtest : Report.pdf
- The notebook containing the code concerning the implementation of both the model and the backtest : Final_StatsBay.ipynb