This paper analyzes the use of Reinforcement Learning in trading Agricultural ETFs. The first section of the paper examines the performance of using a naive trading strategy to be used in a later comparison with Reinforcement Learning strategies. Here, returns were very volatile, with agents...

We compare the explainability of cryptocurrency returns from macro and microeconomic risk factors during stressed and normal market environments, in particular, analyzing the effects of the COVID-19 pandemic to cryptocurrency return explainability. We find that risk-premiums are encapsulated...

The ambition of this paper is to catch hidden information inside the Securities and Exchange Commission’s (SEC)13F public holding data in order to construct an equity portfolio that maximizes returns. The 13F ling data give us the quarterly stock trading decisions of included funds, but...

The fall of LTCM (Long Term Capital Management) and Lehman Brothers remain some of the most debated topics in modern financial history. Following the Russian financial crisis of 1998, LTCM, a new but prominent hedge fund, found itself on the edge of bankruptcy. However, LTCM was ‘saved’ in a...

The authors examine an optimized Markowitz efficient portfolio by applying a quantitative trading strategy to the S&P 500 sector exchanged-traded funds (ETFs). First, they implement a pattern-matching trading system, which extracts the underlying trends based on dynamic time warping. They then...

Securities and Exchange Commission (SEC) form 13F allows the public a quarterly glimpse of the holdings of top asset managers. Here the authors propose two novel quantitative approaches for constructing portfolio-generating models based on these data, as well as guidelines for feature...

This paper explores the effects of a long-term low interest environment as it pertains to general economic growth, the stock and bond market, the wealth gap, and retirees. The Federal Reserve (Fed) will often lower interest rates during periods of economic slowdown (like a recession) to...

Bitcoin is one of the few "physical assets" with no significant income flow on the market today. This makes it difficult to value. Even junior analysts can calculate the "fair value" of an asset, which can be stripped from cash flow and receive a certain return at the end of life. Bitcoin has no...