This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The...

The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

Due to its significance, forecasting asset volatility has been an active area of research in recent decades. In this whitepaper we aim to take into account the stylised facts of volatility to improve predictive power of a simple GARCH model. We investigate the power of three GARCH models (GARCH,...

In this study we investigate how the prediction of future volatility is improved by using news (meta)data. We use three input time series, namely: (i) market data, (ii) news sentiment impact scores, as explained by Yu (2014), and (iii) the news volume. We compare the results of predicting...

Momentum strategy is one of the most popular strategies that market participants use to make investment decisions. In the past two decades, many researchers have shown that momentum strategy beats the market, and provides attractive portfolio returns. In this study we investigate Dow Jones...

Market conditions change over time leading to up-beat (bullish) or down-beat (bearish) market sentiments. The concept of bull and bear markets, also known as market regimes, is introduced to describe market status. Since regimes of the total market are not observable and the return can be...

The recommendation of financial analysts plays an important role in making investment decisions. The method of constructing a portfolio using such recommendations does not rely on quantitative models instead it relies on research of the analysts and their qualitative views. We explore paradigms...

In this study, we introduce a new method of assessing the credit risk of corporate bonds; where in addition to the historical market data news sentiment data is used. Typically, a higher yield spread is usually associated with higher credit risk. By predicting the upward/downward movement of...

We investigate how ‘news sentiment' in general and the ‘impact of news' in particular can be utilised in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into...

Computer trading in financial markets is a rapidly developing field with a growing number of applications. Automated analysis of news and computation of market sentiment is a related applied research topic which impinges on the methods and models deployed in the former. In this chapter we have...