by GCBC Ventures | Jul 23, 2023 | Finance, Machine Learning, Papers

Quantocracy: This is a curated mashup of quantitative trading links. Reinforcement Learning for Credit Index Option Hedging – Francesco Mandelli, Marco Pinciroli, Michele Trapletti, Edoardo Vittori In this paper, we focus on finding the optimal hedging strategy...
by GCBC Ventures | Jul 16, 2023 | Finance, Machine Learning, Papers

Quantocracy: This is a curated mashup of quantitative trading links. Financial Machine Learning – Bryan T. Kelly, Dacheng Xiu We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line...
by GCBC Ventures | Nov 11, 2021 | Finance, Machine Learning

Introduction In this article, we cluster stock price time series with hierarchical clustering and Euclidean, correlation, and Jensen-Shannon distances to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a...
by GCBC Ventures | Nov 4, 2021 | Finance, Machine Learning

Introduction We use the K-means algorithm to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a diversified portfolio be constructed? Additionally, we use the multidimensional scaling (MDS) algorithm to visualize...
by GCBC Ventures | Nov 20, 2020 | Machine Learning, Papers

In this paper the authors present a Python version of the Self-Organizing Map (SOM) algorithm that can run in parallel on CPUs and GPUs (via CuPy). Additionally, they speed up the algorithm by: heavily exploiting higher-dimensional operations (e.g., matrix-matrix) to...
by GCBC Ventures | Nov 17, 2020 | Finance, Machine Learning

Finding Similar Stocks Results Code 1. Finding Similar Stocks There are many ways to find stocks with similar behavior based on how one defines similarity and the data used. In this article we use a 12 period channel where, for each period, we have (current adjusted...