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QuantNet: transferring learning across trading strategies Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data from multiple markets, current approaches in trading rely...

GA-MSSR: Genetic Algorithm Maximizing Sharpe and Sterling Ratio Method for RoboTrading Abstract— Foreign exchange is the largest financial market in the world, and it is also one of the most volatile markets. Technical analysis plays an important role in the forex market and trading algorithms...

Improving stock trading decisions based on pattern recognition using machine learning technology Abstract PRML, a novel candlestick pattern recognition model using machine learning methods, is proposed to improve stock trading decisions. Four popular machine learning methods and 11 different...

FINANCIAL MARKET PREDICTIONS WITH FACTORIZATION MACHINES: TRADING THE OPENING HOUR BASED ON OVERNIGHT SOCIAL MEDIA DATA This paper develops a statistical arbitrage strategy based on overnight social media data and applies it to high-frequency data ofthe S&P 500...

Forecasting index changes in the German DAX family Friedrich‑Carl Franz1 Revised: 30 January 2020 / Published online: 18 February 2020 © The Author(s) 2020 Abstract Combining market data with a publicly available monthly snapshot of Deutsche Börse’s index ranking list, I create a model that...

Stock Price Prediction with CNN-LSTM Network Yushi Guan Peiyao Li Cheng Lu Abstract Stock price prediction has always been a rewarding but challenging task since are inherent noises present in the stock time series data. The application of machine learning and deep learning in this domain...

The Best Investment Strategy for Gold and Bitcoin Combinations Guochi Zhang, Zihao He School of Automation and Information Engineering, Xi'an University of Technology, Xi'an, Shaanxi, 710048, China Abstract In this paper, we model an optimal trading strategy to improve the return on...

US CPI Prep 10 May 2023 13:54 According to median analyst estimates, US CPI YoY is expected to remain unchanged at 5%. The highest estimate is 5.2%, with the lowest at 4.7%, the MoM read is forecast to rise to 0.4% from 0.1% in April. Core CPI YoY is expected to fall moderately to 5.5%, from...

Yes, this is logical. Because leverage got expensive nowadays with the FED and interest markups on several larger brokerage firms. On CBOE options you pay less interest fees for your leverage than on underlying cash stocks (and single stocks futures are illiquid). I see the leverage and interest...

Design and Back-Testing of a Systematic Delta-Hedging Strategy in FX Options Space 21 Pages Posted: 23 May 2016 Valery Sorokin Independent Date Written: May 17, 2016 Abstract This paper describes design and back-testing of an automated delta-hedging strategy applied to short-dated fx options...

How to pick IS to OOS periods ? You do optimize it, so you optimize the In-Sample length with optimizing to parameters to you OOS walk forward period, in relation to the IS period, and look at the OOS results based on your criteria, Sharpe or Net Profit or anything else you want. Earlier I used...

Six Examples of Trading Strategies That Use Alternative Data Alternative data has been booming in recent years, and a potential room for their usage in a design of systematic trading and investment strategies is huge. Whether we talk about satellite and logistics data, various surveys and...

Are There Seasonal Intraday or Overnight Anomalies in Bitcoin? Seasonality Effects in Various Asset Classes As we observe markets, we tend to identify various patterns that continuously repeat. As one of the most followed markets, the stock market is probably connected with most of the sayings...

Beware of Excessive Leverage – Introduction to Kelly and Optimal F Most investors focus solely on the profitability of their investment strategy. And, even though having a profitable strategy is important, it is not everything. There are still numerous other things to consider. One of them is...

What’s the Relation Between Grid Trading and Delta Hedging? Delta hedging is a trading strategy that aims to reduce the directional risk of short option strategy and reach a so-called delta-neutral position. It does so by buying or selling small increments of the underlying asset. Similarly...

Trend-following and Mean-reversion in Bitcoin Trend-following and Mean-reversion in Various Asset Classes Indisputably, trend-following and mean-reversion are two key concepts in quantitative investing or technical analysis. The trend-following proponents suggest a performance continuation and...

How Retail Loses Money in Option Trading Over the last few years, we may have noticed a significant growth in retail investing. No surprise, the COVID pandemic outbreak increased the numbers even more, and undoubtedly, options trading is no exception. According to the authors (de Silva, Smith...

A Study on How Algorithmic Traders Earn Money Today, we present you with the results from a study that we came across. Although it’s not quantitative, but qualitative, it has really held our interest. The paper does not provide any images or figures; it is a study made from various types of...

Overnight Sentiment and the Intraday Return Dynamics Overnight and seasonality effects or analysis of sentiment are favorite themes in quantitative academic research. Novel and very recent research from Baoqing Gan, Vitali Alexeev, and Danny Yeung (August 2022) presents us with an opportunity...

100 Years of Historical Market Cycles Which assets perform best when rates are rising, and inflation is high? And what happens if rates are still rising but inflation is already falling? And what’s the impact of the business cycle? These are the questions that everyone is currently trying to...