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We find economically and statistically significant gains when using machine learning for portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are…
Our work focuses on deep learning (DL) portfolio optimization, tackling challenges in long-only, multi-asset strategies across market cycles. We propose training models with limited regime data using pre-training techniques and leveraging…
Offline reinforcement learning (RL) is challenged by the distributional shift problem. To address this problem, existing works mainly focus on designing sophisticated policy constraints between the learned policy and the behavior policy.…
Predicting the turnover of a company in the ever fluctuating Stock market has always proved to be a precarious situation and most certainly a difficult task in hand. Data mining is a well-known sphere of Computer Science that aims on…
We construct the maximally predictable portfolio (MPP) of stocks using machine learning. Solving for the optimal constrained weights in the multi-asset MPP gives portfolios with a high monthly coefficient of determination, given the sample…
Statistical arbitrage is a prevalent trading strategy which takes advantage of mean reverse property of spread of paired stocks. Studies on this strategy often rely heavily on model assumption. In this study, we introduce an innovative…
The intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…
Online mirror descent (OMD) and dual averaging (DA) -- two fundamental algorithms for online convex optimization -- are known to have very similar (and sometimes identical) performance guarantees when used with a fixed learning rate. Under…
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gaussian linear state-space processes have recently been…
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior…
Automated machine learning (AutoML) is a research area focusing on using optimisation techniques to design machine learning (ML) algorithms, alleviating the need for a human to perform manual algorithm design. Real-time AutoML enables the…
The paper examines the performance of regression models (OLS linear regression, Ridge regression, Random Forest, and Fully-connected Neural Network) on the prediction of CMA (Conservative Minus Aggressive) factor premium and the performance…
In this paper, we propose a data-driven sliding window approach to solve a log-optimal portfolio problem. In contrast to many of the existing papers, this approach leads to a trading strategy with time-varying portfolio weights rather than…
The goal of a learner, in standard online learning, is to have the cumulative loss not much larger compared with the best-performing function from some fixed class. Numerous algorithms were shown to have this gap arbitrarily close to zero,…
We propose and experimentally demonstrate an innovative stock index prediction method using a weighted optical reservoir computing system. We construct fundamental market data combined with macroeconomic data and technical indicators to…
Given a stream of data sampled from non-stationary distributions, online continual learning (OCL) aims to adapt efficiently to new data while retaining existing knowledge. The typical approach to address information retention (the ability…
We propose to solve large scale Markowitz mean-variance (MV) portfolio allocation problem using reinforcement learning (RL). By adopting the recently developed continuous-time exploratory control framework, we formulate the exploratory MV…
Model-based offline reinforcement learning methods (RL) have achieved state-of-the-art performance in many decision-making problems thanks to their sample efficiency and generalizability. Despite these advancements, existing model-based…
In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. This inverse covariance matrix also prescribes the hedge trades in which a stock is hedged by all the other…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…