How to Make Data Resonate for Your Business

Date: May 26, 2022

Join us as Olus Kayacan discusses how Efficient Data Analysis provides solid predictive power for Investment Management. However, data can also be cumbersome and generate Chaos if not handled properly. Keith Black and Olus Kayacan will explore how to make sure you get the most out of it for your business!

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Algorithmic Trading for Cryptoassets

Date: June 8, 2022

Deep Reinforcement Learning for Asset Allocation in US Equities

Date: June 15, 2022

This paper demonstrates the application of reinforcement learning to create a financial model-free solution to the asset allocation problem, learning to solve the problem using time series and deep neural networks. We demonstrate this on daily data for the top 24 stocks in the US equities universe with daily rebalancing. We use a deep reinforcement model on US stocks using different deep learning architectures. We use Long Short Term Memory networks, Convolutional Neural Networks, and Recurrent Neural Networks and compare them with more traditional portfolio management approaches like mean-variance, minimum variance, risk parity, and equally weighted. The Deep Reinforcement Learning approach shows better results than traditional approaches using a simple reward function and only being given the time series of stocks. In Finance, no training to test error generalization results come guaranteed. We can say that the modeling framework can deal with time series prediction and asset allocation, including transaction costs.