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Deep Learning for Global Tactical Asset Allocation

Chakravorty, Gaurav - 2019

We show how one can use deep neural networks with macro-economic data in conjunction with price-volume data in a walk-forward setting to do tactical asset allocation. Low cost publicly traded ETFs corresponding to major asset classes (equities, fixed income, real estate) and geographies (US,...

Persistent link: https://www.econbiz.de/10012898276

A Penny Saved Is Two Pennies Earned

White, James - 2019

-free penny is worth two pennies of expected but uncertain income, a result born out by modern mathematical advances in the theory …

Persistent link: https://www.econbiz.de/10012899550

Regime Detection Based Risk Modeling of Asset Classes

Chakravorty, Gaurav - 2019

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios. However, the performance of risk targeting varies...

Persistent link: https://www.econbiz.de/10012871837

Active Risk Budgeting : A Portfolio Construction Methodology for Futures Strategies

Chakravorty, Gaurav - 2019

We present a portfolio construction methodology for futures strategies that incorporates active trading and also borrows salient features from the risk-parity methodology. We document the evolution of expected risk and return based portfolio construction methodologies and propose a new...

Persistent link: https://www.econbiz.de/10012871929

Further to Asset Price Trend Theory : Decision Making, Optimization, Fears and Aspirations, and Notions of Market Efficiency

Dubois, Robert - 2014

the constraint that assets be fully and continuously invested is inconsistent with basic decision theory, as it disallows … in finance. We herein explore implications for the traditional ‘52'59 Markowitz approach to portfolio theory when the … incomplete Markowitz model. Relative to “Asset Price Trend Theory: Reframing portfolio theory from the ground up” (Dubois [2013 …

Persistent link: https://www.econbiz.de/10013049923

Statistical Inference and the Scientific Method : Making Statistics Relevant

Friedman, Hershey H. - 2014

The purpose of this article is to propose that we focus the teaching of the introductory statistics course not merely on the statistical tools to be studied, but on the scientific thinking that they engender. Students must be taught that science is based on the testing of theories and shown how...

Persistent link: https://www.econbiz.de/10013059077

New Look on Macro-Finance Modeling

Olkhov, Victor - 2016

This paper models macro-finance on economic space alike to description of multi-particle systems. We treat economic agents as simple units of macro-finance system and use their risk ratings as their coordinates on economic space. Financial variables of separate economic agents are defined as...

Persistent link: https://www.econbiz.de/10012990098

Can Sentiment Indicators Signal Market Reversals?

Lagarde, Arnaud - 2016

In this study we use machine learning algorithm to test Amareos sentiment indicator's predictive power of market reversals. We then build and test a viable trading strategy.As input for the algorithm, we used eight market sentiment indicators (Anger, Anticipation, Disgust, Fear, Gloom, Joy,...

Persistent link: https://www.econbiz.de/10012991004

Speculative Dynamical Systems : How Technical Trading Rules Determine Price Dynamics

Wang, Li-Xin - 2014

Persistent link: https://www.econbiz.de/10013045863

Quantitative Description of Financial Transactions and Risks

Olkhov, Victor - 2018

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...

Persistent link: https://www.econbiz.de/10012930589