Recently I saw that Facebook released Neural Prophet, a new forecasting package similar to Prophet, but built on top of Torch. Prophet is one of my favorite forecasting packages, given the ability to decompose forecasts, add in events and holidays, and take advantage of business user domain knowledge. Naturally, I was excited about hearing this new version, and on top of torch of all things! The package itself is early in development, so there’s obviously no R port yet.
The only constants in life are death, taxes, and the RStudio team continually crushing it. This time, they’ve ported Torch into R. I’m a fairly heavy tensorflow user, and coming from an R background had a steep learning curve incorporating it into my toolkit. While torch is simpler in a lot of ways (specifically, not requiring a python environment), these deep learning frameworks can be intimidating. What I hope to do here is demystify torch workflows a little bit by providing some overly simple use cases.
Building on what I was working on with my last post, where I was learning Tensorflow probability, I found that it was able to pick up the skew of simulated data pretty well, now I want to try it out on a real financial dataset.
For this, I picked the loan data from Lending Club. This is a nice dataset for this task because there’s a natural skew in the data due to defaults, where a borrower ends up paying less than the full amount they were lent.
Intro Two areas I’ve spent a lot of time in are finance and sports. In these two fields, I often hear the refrain to ‘think probabilistically’, whether that means continuing to go for it on 4th down, even if you were stuffed the last time, or getting back into a trade even though the last one blew up in your face. As Annie Duke lays out in her book Thinking In Bets, all decisions have uncertainty and you have to be able to consider where your eventual outcome fell in the distributuon of possible outcomes.
Week 8 Optimized Lineups for the DraftKings main slate.
How can you predict that a movie will do well? Movie studios can only produce so many at a time, and, like any business, they want to maximize their investment at every turn. Many filmmakers put their entire life into a film, hoping that a studio will make a bet on it. One such example is the Reign of Judges Movie that’s currently filming a concept short, with the hopes of being picked up for a full feature.
