Related papers: Why Indexing Works
The ability to identify stock market trends has obvious advantages for investors. Buying stock on an upward trend (as well as selling it in case of downward movement) results in profit. Accordingly, the start and end-points of the trend are…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
Algorithmic trading or Financial robots have been conquering the stock markets with their ability to fathom complex statistical trading strategies. But with the recent development of deep learning technologies, these strategies are becoming…
Autonomous agents that act with each other on behalf of humans are becoming more common in many social domains, such as customer service, transportation, and health care. In such social situations greedy strategies can reduce the positive…
The problem of identifying to which of a given set of classes objects belong is ubiquitous, occurring in many research domains and application areas, including medical diagnosis, financial decision making, online commerce, and national…
A central question for active learning (AL) is: "what is the optimal selection?" Defining optimality by classifier loss produces a new characterisation of optimal AL behaviour, by treating expected loss reduction as a statistical target for…
The core activity of a Private Equity (PE) firm is to invest into companies in order to provide the investors with profit, usually within 4-7 years. To invest into a company or not is typically done manually by looking at various…
In decision-making, individuals often rely on intuition, which can occasionally yield suboptimal outcomes. This study examines the impact of intuitive decision-making on individuals who are confronted with limited position information in…
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed…
Self-organization in complex systems is a process in which randomness is reduced and emergent structures appear that allow the system to function in a more competitive way with other states of the system or with other systems. It occurs…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or "hockey-stick") alphas and using them to improve performance characteristics of good (tradable) alphas. In a nutshell, we use…
A key question concerning collective decisions is whether a social system can settle on the best available option when some members learn from others instead of evaluating the options on their own. This question is challenging to study, and…
In the era of rapid Internet and social media platform development, individuals readily share their viewpoints online. The overwhelming quantity of these posts renders comprehensive analysis impractical. This necessitates an efficient…
Macroeconomic indexes are of high importance for banks: many risk-control decisions utilize these indexes. A typical workflow of these indexes evaluation is costly and protracted, with a lag between the actual date and available index being…
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect…
In the world of big data, large but costly to label datasets dominate many fields. Active learning, a semi-supervised alternative to the standard PAC-learning model, was introduced to explore whether adaptive labeling could learn concepts…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the…
Obtaining labeled data for machine learning tasks can be prohibitively expensive. Active learning mitigates this issue by exploring the unlabeled data space and prioritizing the selection of data that can best improve the model performance.…