Related papers: Statistical Arbitrage in Rank Space
We create a ranking algorithm, the naive Bayes asset ranker. Our algorithm computes the posterior probability that individual assets will be ranked higher than other portfolio constituents. Unlike earlier algorithms, such as the weighted…
Solver competitions play a prominent role in assessing and advancing the state of the art for solving many problems in AI and beyond. Notably, in many areas of AI, competitions have had substantial impact in guiding research and…
In this paper we present a statistical analysis about the characteristics that we intend to influence in the performance of the neural networks in terms of assertiveness in the prediction of Brazilian stock returns. We created a population…
Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…
Participants in socio-economic systems are often ranked based on their performance. Rankings conveniently reduce the complexity of such systems to ordered lists. Yet, it has been shown in many contexts that those who reach the top are not…
Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…
Traditional approaches to ranking in web search follow the paradigm of rank-by-score: a learned function gives each query-URL combination an absolute score and URLs are ranked according to this score. This paradigm ensures that if the score…
We study algorithms for estimating the statistical leverage scores of rectangular dense or sparse matrices of arbitrary rank. Our approach is based on combining rank revealing methods with compositions of dense and sparse randomized…
This article investigates the influence of luck and strategic considerations on performance of teams participating in the M6 investment challenge. We find that there is insufficient evidence to suggest that the extreme Sharpe ratios…
In this paper, we discuss the Dutch power market, which is comprised of a day-ahead market and an intraday balancing market that operates like an auction. Due to fluctuations in power supply and demand, there is often an imbalance that…
The performance of a cross-sectional currency strategy depends crucially on accurately ranking instruments prior to portfolio construction. While this ranking step is traditionally performed using heuristics, or by sorting the outputs…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
Tree-based methods are powerful nonparametric techniques in statistics and machine learning. However, their effectiveness, particularly in finite-sample settings, is not fully understood. Recent applications have revealed their surprising…
Many complex phenomena, from the selection of traits in biological systems to hierarchy formation in social and economic entities, show signs of competition and heterogeneous performance in the temporal evolution of their components, which…
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…
Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
From the viewpoint of networks, a ranking system for players or teams in sports is equivalent to a centrality measure for sports networks, whereby a directed link represents the result of a single game. Previously proposed network-based…
The symbolic dynamics technique is well-known for low-dimensional dynamical systems and chaotic maps, and lies at the roots of the thermodynamic formalism of dynamical systems. Here we show that this technique can also be successfully…