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I am a portfolio manager for a PE fund specialized in stat arb and related trading strategies. The job will involve creating a basket pairs trading model based on a number of inputs, some volatility models I have developed, simple Matlab or excel programming. I am interested in building a Support Vector Machine (maybe with SMO implementation algo) with inputs from a basket of correlated stocks and developing a neural network based on the data so that to buy underpriced and sell(short) overpriced symbols in the basketi of time (price) series in the correct ratios and have a good probability distribition curve with 60% positive expectancy for mean reversion and profit. I employ a few models of these based on simpler concepts like OLS and WLS, but need more help refining the higher level stuff. The main part of the job will be creating the SVM and being able to acheive decent out of sample results with different test inputs of correlated series, How much per hour would you charge t...
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