11. Time- and State-Dependent Resampling

This video goes through the Time- and State-Dependent Resampling SSRN article¹ and its accompanying Python code².

Time- and State-Dependent Resampling is a new general class of time series resampling methods for high-dimensional investment market simulation.

The Fully Flexible Resampling method, first introduced in Chapter 3 of the Portfolio Construction and Risk Management book³, is an instance of the Time- and State-Dependent Resampling class.

You can read more about this relation in this post⁴.

1. Time- and State-Dependent Resampling SSRN article: https://ssrn.com/abstract=5117589

2. Time- and State-Dependent Resampling Python code: https://github.com/fortitudo-tech/fortitudo.tech/blob/main/examples/11_TimeStateResampling.ipynb

3. Portfolio Construction and Risk Management Book: https://antonvorobets.substack.com/p/pcrm-book

4. Time- and State-Dependent Resampling post: https://antonvorobets.substack.com/p/time-and-state-dependent-resampling