by GCBC Ventures | Aug 14, 2023 | Finance, Machine Learning
In Quant And Machine Learning Portfolio Construction: Mimicking An Asset Price Series With Nearest Neighbors, we created a portfolio by computing nearest neighbors to an asset time series and deriving weights from distances to that time series. The method we employ...
by GCBC Ventures | Aug 8, 2023 | Finance, Machine Learning
For who knows what reason, percent price change has been designated “momentum” in financial jargon. Typically, momentum is used to measure trends and is then applied to trend following systems as an entry signal. We do the same here, trading a portfolio of...
by GCBC Ventures | Aug 8, 2023 | Finance, Machine Learning
We will use a specific example to illustrate how to create a portfolio that mimics the time series of prices of a given asset. Here, we will mimic abrdn Physical Platinum Shares ETF (PPLT) with a stock portfolio for which the weights are proportional to 1/distance....
by GCBC Ventures | Aug 6, 2023 | Finance, Machine Learning
We construct a stock portfolio based on the assumption that stocks will revert to a given index represented by an ETF. In the example here, we use the entire stock market and VTI, the total stock market ETF. Slopes of zsore prices are the measure of deviation from VTI...
by GCBC Ventures | Jul 29, 2023 | Finance, Machine Learning, Uncategorized
Using the Dynamic Time Warping computation as explained in Dynamic Time Warping Nearest Neighbors, we construct distance matrices which are the input data for K-Medoids clustering: The k-medoids problem is a clustering problem similar to k-means. The name was coined...
