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Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor's portfolio, which arises from our lack of information, uncertainty and incomplete knowledge of reality, which forbids…
We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…
This is a verbatim copy of a technical report I wrote in 2017-2018 to obtain the law of the iterated logarithm using the guarantee on the wealth of an online betting strategy.
We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies' past performance. Based on the chosen trading strategy…
Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…
This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelihood using an asymmetric Laplace (AL) error distribution and…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
The design of sparse neural networks, i.e., of networks with a reduced number of parameters, has been attracting increasing research attention in the last few years. The use of sparse models may significantly reduce the computational and…
We address measurement schemes where certain observables are chosen at random within a set of non-degenerate isospectral observables and then measured on repeated preparations of a physical system. Each observable has a given probability to…
We propose a general approach to quantitatively assessing the risk and vulnerability of artificial intelligence (AI) systems to biased decisions. The guiding principle of the proposed approach is that any AI algorithm must outperform a…
Quantization-aware training (QAT) receives extensive popularity as it well retains the performance of quantized networks. In QAT, the contemporary experience is that all quantized weights are updated for an entire training process. In this…
A variation on Janowski's cubeful equity model is proposed for cube handling in backgammon money games. Instead of approximating the cubeful take point as an interpolation between the dead and live cube limits, a new model is developed…
In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy's long-term performance. This method addresses This method addresses many pitfalls that currently…
Hybrid randomized controlled trials (hybrid RCTs) integrate external control data, such as historical or concurrent data, with data from randomized trials. While numerous frequentist and Bayesian methods, such as the test-then-pool and…
Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For example, hedging a portfolio of European options using RL…
Lean manufacturing is a production method focused on reducing production times, eliminating waste, and synchronizing production with fluctuating demand. A standard lean manufacturing methodology is the product wheel, a repeating sequence of…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
We propose a strategy for automated trading, outline theoretical justification of the profitability of this strategy and overview the hypothetical results in application to currency pairs trading. The proposed methodology relies on the…
We give a criterion under which the expected return on a ticket for certain large lotteries is positive. In this circumstance, we use elementary portfolio analysis to show that an optimal investment strategy includes a very small allocation…