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Introduction

This document is a brief introduction to the deep Q learning (DQN) and some of its most important improvements. It also covers topics including learning from examples, multi-agent environment and using DQN to solve natural languag...

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Your Financial Models Are Wrong!

Investment Managers Use Incorrect Return Assumptions in Their Models

Measuring and modeling financial returns are important for investors to understand their risks and expectations. Understanding how frequently...

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In the era of big data, due to the increased volume and complexity of data, traditional statistical learning tools have been shown to have limited performance in classification and feature extraction tasks in a range of domains, including com...

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Markowitz's Modern Portfolio Theory (MPT), or mean-variance portfolio, involves finding the best balance between the profit and risk of portfolio returns over a future period. This strategy looks for the lowest risk given a targeted return. Fo...

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Time Series Shapelets

Setting:

  1. A pool of time series, of different length

  2. They are from class A and B, labeled

Goal:

       Find a series of shapelets to optimally split the set

Idea:

  1. Supervised learning (exp...

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Computational Algorithms

The geometric strategy identifies trend reversals in stock prices by recognizing significant price points than make sure a specific shape. These patterns trigger signals on both the long and short side, outperforming a ran...

An equity trading strategy using nearest neighbor algorithms to predict future return

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Data Mining For Alpha Signals

In this research we mine past data for similar N day patterns, and then use that information to predict return for next several...

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Signal processing is the process of using a computer for numerical calculations. Multiple algorithms have been created that improve the process of identifying signals. Though computer capability have increased, humans are necessary to manipula...

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How are baskets used in financial markets?

Baskets of equities held together provide an understand of statistical profiles for the underlying companies, such as hedging or trading, that cannot be by looking at individual components. By analyzin...

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Research Timeline

January 27, 2018

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