This repository replicates the methods described in "Bayesian regression and Bitcoin" by Shah and Zhang (2014) and applies it on second-by-second Copper Futures Prices (HG).
The paper can be found at:
https://devavrat.mit.edu/wp-content/uploads/2017/11/Bayesian-regression-and-Bitcoin.pdf
Notebook in the repository goes through the algorithm and some of the maths.
Results as shown below: Comissions, Bid-ask spread not considered - this only applies for midprice prediction. No financial promises whatsoever.
