10th

ARCHIVE CONTENTS

documentation/ Model Documentation - JPX.pdf : High-level documentation of the solution notebooks/simulations : Folder containing the notebooks for the analysis simulations performed notebooks/submission : Folder containing the notebook to be run on Kaggle to submit the solution

HARDWARE: (The following specs were used to create the original solution)

Standar Kaggle Notebook Enviroment (with CPU only)

SOFTWARE (python packages are detailed separately in requirements.txt):

Python 3.7.12

DATA SETUP (assumes the Kaggle API is installed)

This notebooks needs to run inside Kaggle Competition environment, no additional data setup is required

NOTEBOOKS

### notebooks/simulations/simulations.ipynb In this notebook, the 100000 portfolio simulations of each day of the history are generated and saved in the folder "jpx-solution/notebooks/simulations/days_montecarlo_simulations".

notebooks/simulations/simulation_aggregation.ipynb

In this notebook, the simulations of each day are aggregated and the best spread to achieve to maximise the historical sharpe ratio

notebooks/submission/submission-notebook.ipynb

This is the notebook with all the model logic inside for use within the Kaggle environment of the competition