This is a replication repository for the article A Note on the M6 Forecasting Competition: Rank Optimization. To replicate the analysis:
- Install dependencies in
requirements.txt
- Run the analysis via either:
- If you are a DVC user, simply run
dvc exp run
in the console or run therun.bat
file. - If not, you can also run all the files manually in the following order:
src\process_data.R
src\estimate_coefficients.R
src\compute_strategy.R
src\run_competition_simulated.R
src\run_competition_bootstrapped.R
src\auxiliary\leaderboard_comparison.R
src\auxiliary\strategy_diagram.R
src\auxiliary\scaling_effects.R
src\auxiliary\position_effects.R
src\auxiliary\competition_statistics_simulated.R
src\auxiliary\competition_statistics_bootstrapped.R
- If you are a DVC user, simply run
- To create the pdf, compile the file
latex\article_ssrn\article_ssrn.tex