Systematic Equity Alphas Library
Find out our latest insights in systematic equity alphas
rectangle.png

Financial News to Predict Stock Market

Financial news provides information to the general public. Consumers rely on information they read or hear before buying a product.

Read More 

arrow-point-to-right.png
2019-03-20 17_07_05-Financial News to Pr
rectangle.png

Support Vector Machine for Stock Market Prediction

Predicting direction of stock price index movement using artificial neural networks and support vector machines

Read More 

arrow-point-to-right.png
2019-03-20 16_41_32-Support Vector Machi
rectangle.png

Target price forecasts Fundamentals and behavioral factors

Group Normalization provides a more stable data normalization methodology that can ease optimization and enable very deep networks to converge.

Read More 

arrow-point-to-right.png
target price.png
rectangle.png

Accrual Reliability, Earnings Persistence and Stock Prices

Latest ResNet and their variations (ResNeXt, Wide ResNet, PyramdNet) have broken the records of lowest error rates but they often suffer from problems such as vanishing gradients.

Read More 

arrow-point-to-right.png
accrual.png
rectangle.png

A Survival Analysis Method for Stock Market Prediction

The trading strategy based on the predictive regression model that includes trading information from both markets provides significant utility gains to mean-variance investors.

Read More 

arrow-point-to-right.png
a survival.png
rectangle.png

Intraday volatility interaction between the crude oil and equity markets

The trading strategy based on the predictive regression model that includes trading information from both markets provides significant utility gains to mean-variance investors.

Read More 

arrow-point-to-right.png
intraday.png
rectangle.png

Forecasting stock market short –term trends using a neuro-fuzzy based methodology

Paper proposes a new architecture that reformulate the layer inputs and provides comprehensive empirical evidence showing that these residual networks are easier to optimize.

Read More 

arrow-point-to-right.png
forecasting.png
Technical Architectures
Insights to quantitative methods applied to investment strategies, focused on machine learning and advanced computing.  
rectangle.png

Hyper-parameter Tuning

We have a set of hyper-parameters and we aim to find the right combination of their values which can help us to find either the minimum (eg. loss) or the maximum (eg. accuracy) of a function.

Read More 

arrow-point-to-right.png
2019-12-16_15_57_06-Hyper-Parameter_Tuni
16-Dec-2019
rectangle.png

Interpretable AI

Models can be rendered powerless unless they can be interpreted, and the process of human interpretation follows rules that go well beyond technical prowess. 

Read More 

arrow-point-to-right.png
2019-12-16_15_38_10-Interpretable_AI_-_P
16-Dec-2019
rectangle.png

Convolutional Neural Networks

CNN replaces fully connected multiperceptron layers with convolutional layers and pooling layers so that the model requires a minimal number of parameters.

Read More 

arrow-point-to-right.png
2019-03-20 15_32_44-Convolutional Neural
rectangle.png

RLPG Report

Inspired by the idea of learning through interaction with environment, reinforcement learning (RL) is an area of machine learning concerned with what to do – how to map situations to actions in an environment so as to maximize some notion of cumulative reward.

Read More 

arrow-point-to-right.png
RLPG Report.png
rectangle.png

Group Normalization

Group Normalization provides a more stable data normalization methodology that can ease optimization and enable very deep networks to converge.

Read More 

arrow-point-to-right.png
gan7.png
rectangle.png

ShakeDrop Regularization

Latest ResNet and their variations (ResNeXt, Wide ResNet, PyramdNet) have broken the records of lowest error rates but they often suffer from problems such as vanishing gradients.

Read More 

arrow-point-to-right.png
shakedrop.png
rectangle.png

Deep Residual Learning for Image Recognition

Paper proposes a new architecture that reformulate the layer inputs and provides comprehensive empirical evidence showing that these residual networks are easier to optimize.

Read More 

arrow-point-to-right.png
deepresidual.png
rectangle.png

Generative Adversarial Nets

GAN is at least competitive with the better generative models in the literature and highlight the potential of the adversarial framework.

Read More 

arrow-point-to-right.png
gan5.png
rectangle.png

Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shift

In Deep Neural Networks, inputs of each layers usually changes during training, which therefore requires lower learning rates and careful parameter initialization.

Read More 

arrow-point-to-right.png
batch.png
rectangle.png

Deep Extreme Learning Machines

The emerging algorithm, Extreme Learning Machine, is known to be fast to train in comparison with iterative training methods, and performs with similar accuracy with Support Vector Machines(SVM).

Read More 

arrow-point-to-right.png
deep extreme.png
rectangle.png

Proximal Policy Optimization

The purpose of this research is to introduce a new family of policy gradient methods for reinforcement learning called PPO.

Read More 

arrow-point-to-right.png
proximal policy.png
rectangle.png

Ladder Variational Autoencoders

VAE, consisting of hierarchies of conditional stochastic variables, are highly expressive models retaining the computational efficiency of fully factorized models.

Read More 

arrow-point-to-right.png
ladder.png
2019-03-19 11_39_58-Window.png

WHITE PAPER

Extreme Learning Machine

 

Algo Depth focuses much of its attention on signal processing, machine learning, and deep learning. In this extreme learning machine strategy, we apply a neural network to predict upper and lower bounds of future stock movements for the largest 25 companies traded on the Nasdaq exchange.

2017

Read More 

arrow-point-to-right.png
StockSnap_WCXLUMUFI4.jpg

Algo Depth Research Blog

Quantitative Investment Topics

2019-03-28 10_13_34-Window.png

WHITE PAPER

Application of Reinforcement Learning For Order Execution

 

We present a large scale application of reinforcement learning to optimize trading execution. The experiment is based on Apple Inc. The results generate a 1.2% annual cost savings, and show the promise of applying reinforcement learning methods to solve market microstructure problems. Our algorithm can further improve by including tick data, and market order books. It can be tested on any stock.

2018

Read More 

arrow-point-to-right.png
 
 

Interested in Existing Research and Signals?