Portfolio Diversification Via Hierarchical Clustering

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 diversified portfolio be constructed?

Portfolio Diversification Via K-means

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...

Mechanical Trading System: Entry = Array Of Dual Moving Averages, Exit = Fixed Period

In this article, we present a mechanical trading system that is a generalization of a dual moving average cross over system with a fixed time period for exits.

Visualizing Correlations Among Dow 30 Stocks Via NetworkX

NetworkX is a Python package for the creation, manipulation, and study of the structure, dynamics, and functions of complex networks.

Using daily adjusted close data from 20201118 to 20201218 for Dow 30 stocks, we compute correlation coefficients, apply a threshold of 0.8 to find similar stocks, and produce two types of graphs with NetworkX.

Paper: XPySom: High-Performance Self-Organizing Maps – Mancini et al 2020

In this paper, we introduce XPySom, a new open-source Python implementation of the well-known Self-Organizing Maps (SOM) technique. It is designed to achieve high performance on a single node, exploiting widely available Python libraries for vector processing on multi-core CPUs and GP-GPUs. We present results from an extensive experimental evaluation of XPySom in comparison to widely used open-source SOM implementations, showing that it outperforms the other available alternatives.

Paper: A self-attention based message passing neural network for predicting molecular lipophilicity and aqueous solubility – Tang et al 2020

In this paper, we describe a self-attention-based message-passing neural network (SAMPN) model, which is a modification of Deepchem’s MPN [16] and is state-of-the-art in deep learning. It directly learns the most relevant features of each QSAR/QSAPR task in the learning process and assigns the degree of importance for substructures to improve the interpretability of prediction.

Paper: A Deep Learning Approach to Antibiotic Discovery – Stokes et al 2020

This is a very interesting paper in which the authors use a message passing neural network on a carefully selected data set to predict antibacterial activity against E. coli. Then they apply their model to other data sets, while also prioritizing molecules that are different (via minimum Tanimoto similarity) from existing antibiotics, to find candidates for new antibiotics.

Paper: DeepSMILES: An Adaptation of SMILES for Use in Machine-Learning of Chemical Structures – O’Boyle and Dalke 2018

SMILES (Simplified Molecular Input Line Entry System) representations of molecules have found many uses in machine learning algorithms, especially those derived from natural language processing techniques. However, they were not designed for machine learning and thus suffer from various syntax issues that can hamper machine learning methods, especially generative methods. DeepSMILES is a modification of SMILES explicitly designed to address these issues.

Paper: Augmenting Genetic Algorithms with Deep Neural Networks for Exploring the Chemical Space – Nigam et al 2020

In this paper, the authors use a genetic algorithm operating on the SELFIES (SELF-referencIng Embedded Strings) representation of molecules to explore the vast space of small molecules. A neural network is used to guide the exploration process. Also, fitness functions are constructed to generate molecules with specific properties.

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