/rank_optimization

replication repository for the article A Note on the M6 Forecasting Competition: Rank Optimization

Primary LanguagePostScript

This is a replication repository for the article A Note on the M6 Forecasting Competition: Rank Optimization. To replicate the analysis:

  1. Install dependencies in requirements.txt
  2. Run the analysis via either:
    • If you are a DVC user, simply run dvc exp run in the console or run the run.bat file.
    • If not, you can also run all the files manually in the following order:
      1. src\process_data.R
      2. src\estimate_coefficients.R
      3. src\compute_strategy.R
      4. src\run_competition_simulated.R
      5. src\run_competition_bootstrapped.R
      6. src\auxiliary\leaderboard_comparison.R
      7. src\auxiliary\strategy_diagram.R
      8. src\auxiliary\scaling_effects.R
      9. src\auxiliary\position_effects.R
      10. src\auxiliary\competition_statistics_simulated.R
      11. src\auxiliary\competition_statistics_bootstrapped.R
  3. To create the pdf, compile the file latex\article_ssrn\article_ssrn.tex