Download Full Report: here 


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...

Download Full Report: here

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...

Download Full Report: here 

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...

Download Full Report: here

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...

Full report available here

Time Series Shapelets


  1. A pool of time series, of different length

  2. They are from class A and B, labeled


       Find a series of shapelets to optimally split the set


  1. Supervised learning (exp...

View full report here

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

Full report available here. 

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...

Download Full Report: Here

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...

Download Full Report: Here

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...

Please reload

Research Timeline

January 27, 2018

Please reload

Algo Depth




Quantitative Research

Investment Managers

Data Providers




We collaborate with ambitious companies and individuals; let's build something great together.

© 2019 by Algo Depth                                1 Broadway, Cambridge MA 02142 USA                                                 All Rights Reserved by Algo Depth