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Combining low-volatility and mean-reversion anomalies: Better together? 结合低波动性和均值回复异常：结合得更好？
IF 0.5
Algorithmic Finance Pub Date : 2023-11-27 DOI: 10.3233/af-220441
Eero J. Pätäri, Sheraz Ahmed, Tuomas Lankinen, J. Yeomans
{"title":"Combining low-volatility and mean-reversion anomalies: Better together?","authors":"Eero J. Pätäri, Sheraz Ahmed, Tuomas Lankinen, J. Yeomans","doi":"10.3233/af-220441","DOIUrl":"https://doi.org/10.3233/af-220441","url":null,"abstract":"This paper contributes to the existing stock market anomaly literature by being the first to analyze the benefits of combining two distinct anomalies; specifically, the low-volatility and mean-reversion anomalies. Our results show that on a long-only basis, these two time-varying anomalies could be combined into a double-sort investment strategy that includes some desirable characteristics from each of them, thereby making the portfolio return accumulation more stable over time. As the added-value of low-volatility investing stems mostly from the risk-reduction side, while contrarian stocks are generally highly volatile with remarkable upside potential, the use of the double-sort portfolio-formation in which the contrarian stocks are picked from the sub-set of below-median volatility stocks can shorten the below-market performance periods that have occasionally materialized for plain low-volatility or plain contrarian investors.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"12 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2023-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139230490","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Guidelines for building a realistic algorithmic trading market simulator for backtesting while incorporating market impact 指导方针建立一个现实的算法交易市场模拟器回测，同时纳入市场影响
Algorithmic Finance Pub Date : 2023-10-05 DOI: 10.3233/af-220356
Babak Mahdavi-Damghani, Stephen Roberts
{"title":"Guidelines for building a realistic algorithmic trading market simulator for backtesting while incorporating market impact","authors":"Babak Mahdavi-Damghani, Stephen Roberts","doi":"10.3233/af-220356","DOIUrl":"https://doi.org/10.3233/af-220356","url":null,"abstract":"In this paper, a shorter and more publication focused version of our recent article “A Bottom-Up Approach to the financial Markets” (Mahdavi-Damghani, & Roberts, S. 2019.) is presented. More specifically we propose a new approach to studying the financial markets using the Bottom-Up approach instead of the traditional Top-Down. We achieve this shift in perspective, by re-introducing the High Frequency Trading Ecosystem (HFTE) model Mahdavi-Damghani, B. 2017. More specifically we specify an approach in which agents in Neural Network format designed to address the complexity demands of most common financial strategies interact through an Order-Book. We introduce in that context concepts such as the Path of Interaction in order to study our Ecosystem of strategies through time. We show how a Particle Filter methodology can then be used in order to track the market ecosystem through time. Finally, we take this opportunity to explore how to build a realistic market simulator which objective would be to test real market impact without incurring any research costs.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135482973","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Graph embedded dynamic mode decomposition for stock price prediction 基于图嵌入动态模式分解的股票价格预测
IF 0.5
Algorithmic Finance Pub Date : 2023-06-06 DOI: 10.3233/af-220432
Andy M. Yip, W. Ng, Ka-Wai Siu, Albert C. Cheung, Michael K. Ng
{"title":"Graph embedded dynamic mode decomposition for stock price prediction","authors":"Andy M. Yip, W. Ng, Ka-Wai Siu, Albert C. Cheung, Michael K. Ng","doi":"10.3233/af-220432","DOIUrl":"https://doi.org/10.3233/af-220432","url":null,"abstract":"We present an algorithmic trading strategy based upon a graph version of the dynamic mode decomposition (DMD) model. Unlike the traditional DMD model which tries to characterize a stock’s dynamics based on all other stocks in a universe, the proposed model characterizes a stock’s dynamics based only on stocks that are deemed relevant to the stock in question. The relevance between each pair of stocks in a universe is represented as a directed graph and is updated dynamically. The incorporation of a graph model into DMD effects a model reduction that avoids overfitting of data and improves the quality of the trend predictions. We show that, in a practical setting, the precision and recall rate of the proposed model are significantly better than the traditional DMD and the benchmarks. The proposed model yields portfolios that have more stable returns in most of the universes we backtested.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"10 1","pages":"39-51"},"PeriodicalIF":0.5,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42760677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model 分数Cox-Ingersoll-Ross模型的利率导数
IF 0.5
Algorithmic Finance Pub Date : 2023-06-06 DOI: 10.3233/af-220467
J. Bishwal
{"title":"Interest rate derivatives for the fractional Cox-Ingersoll-Ross model","authors":"J. Bishwal","doi":"10.3233/af-220467","DOIUrl":"https://doi.org/10.3233/af-220467","url":null,"abstract":"We obtain the bond price formula for the fractional Cox-Ingersoll-Ross model. Then we obtain option price formula for the bond. Finally we apply it to derive option price formula in fractional Heston model.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"10 1","pages":"53-66"},"PeriodicalIF":0.5,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49536303","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How smart is a momentum strategy? An empirical study of Indian equities 动量策略有多聪明?印度股票的实证研究
IF 0.5
Algorithmic Finance Pub Date : 2023-03-10 DOI: 10.3233/af-220399
Apurv Nigam, P. Pandey
{"title":"How smart is a momentum strategy? An empirical study of Indian equities","authors":"Apurv Nigam, P. Pandey","doi":"10.3233/af-220399","DOIUrl":"https://doi.org/10.3233/af-220399","url":null,"abstract":"Smart Beta Investing has revolutionized investment management field with the ability to offer higher returns with lower costs. The momentum factor in the Smart Beta universe often outperforms other popular factors, besides being well documented in the literature, it is found to be pervasive across different geographies and asset classes. In this paper, we implement a long-only momentum based investment strategy for the Indian equity markets that delivers superior risk-adjusted performance, derived upon comparing multiple strategies across time frames. Based on these tests, we find that the lagged 6-months’ compounded returns indicator with quarterly rebalancing can be used to generate the highest risk-adjusted performance.The paper also tests a related phenomenon called the Accelerated Effect of momentum as documented by Ardila et. al. (2021) for the Indian equity market, and finds that the accelerated momentum effect underperforms the traditional momentum both on an absolute and risk-adjusted basis.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"10 1","pages":"21-37"},"PeriodicalIF":0.5,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49244786","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Computation of financial risk using principal component analysis 用主成分分析法计算财务风险
IF 0.5
Algorithmic Finance Pub Date : 2022-09-30 DOI: 10.3233/af-220339
Mavungu Masiala
{"title":"Computation of financial risk using principal component analysis","authors":"Mavungu Masiala","doi":"10.3233/af-220339","DOIUrl":"https://doi.org/10.3233/af-220339","url":null,"abstract":"This article uses Principal Component Analysis to compute and extract the main factors for the financial risk of a portfolio, to determine the most dominating stock for each risk factor and for each portfolio and finally to compute the total risk of the portfolio. Firstly, each dataset is standardized and yields a new datasets. For each obtained dataset a covariance matrix is constructed from which the eigenvalues and eigenvectors are computed. The eigenvectors are linearly independent one to another and span a real vector space where the dimension is equal to the number of the original variables. They are also orthogonal and yield the principal risk components (pcs) also called principal risk axis, principal risk directions or main risk factors for the risk of the portfolios. They capture the maximum variance (risk) of the original dataset. Their number may even be reduced with minimum (negligible) loss of information and they constitute the new system of coordinates. Every principal component is a linear combination of the original variables (stock rate of returns). For each dataset, each financial transaction can be written as a linear combination of the eigenvectors. Since they are mutually orthogonal and linearly independent and that they capture the maximum variance of the original data, the risk of the portfolio is calculated by using the principal components, then they have been used to calculate the total risk of the portfolio which is a weighted sum of the variance explained by the principal components.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"10 1","pages":"1-20"},"PeriodicalIF":0.5,"publicationDate":"2022-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43062957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investigating Intertrade Durations using Copulas: An Experiment with NASDAQ Data 使用Copulas调查贸易间持续时间：纳斯达克数据的实验
IF 0.5
Algorithmic Finance Pub Date : 2022-08-03 DOI: 10.3233/af-200362
Ranjan R. Chakravarty, Sudhanshu Sekhar Pani
{"title":"Investigating Intertrade Durations using Copulas: An Experiment with NASDAQ Data","authors":"Ranjan R. Chakravarty, Sudhanshu Sekhar Pani","doi":"10.3233/af-200362","DOIUrl":"https://doi.org/10.3233/af-200362","url":null,"abstract":"The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an experimental design, we study the information pathways in markets in the presence of algorithmic traders. Our results confirm that multivariate analysis is more appropriate to investigate these information pathways. We observe that the strength and nature of the dependence between variables vary through the trading day. We confirm the existence of stylised aspects of algorithmic trading, such as tail dependence in trade durations, a balance between buy and sell side in order durations, liquidity and bid-ask spreads, and the bid-ask spread and liquidity trade-off in the dependence structure.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"9 1","pages":"81-102"},"PeriodicalIF":0.5,"publicationDate":"2022-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44966684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
IN MEMORIAM: Jayaram Muthuswamy 1952-2021 纪念：Jayaram Muthuswamy 1952-2021
IF 0.5
Algorithmic Finance Pub Date : 2022-06-16 DOI: 10.3233/af-229001
Philip Z. Maymin
{"title":"IN MEMORIAM: Jayaram Muthuswamy 1952-2021","authors":"Philip Z. Maymin","doi":"10.3233/af-229001","DOIUrl":"https://doi.org/10.3233/af-229001","url":null,"abstract":"","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"9 1","pages":"61"},"PeriodicalIF":0.5,"publicationDate":"2022-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45770416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs 波动率复合体中信息领导力随交易时间变化的动力学：来自波动率指数期货和波动率指数ETP的证据
IF 0.5
Algorithmic Finance Pub Date : 2022-03-08 DOI: 10.3233/af-200342
Catalina Hurwitz, Suchi Mishra, R. Daigler, Ihsan Badshah
{"title":"Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs","authors":"Catalina Hurwitz, Suchi Mishra, R. Daigler, Ihsan Badshah","doi":"10.3233/af-200342","DOIUrl":"https://doi.org/10.3233/af-200342","url":null,"abstract":"We examine the effect of VIX futures’ new trading hours on price discovery as these causal relations have not been investigated before and are consequential for regulators and practitioners involved in the VIX futures market. Our data include VIX futures and VIX ETPs for four different periods in which trading hours were changed. Employing three different measures of information share, we find that VXX ETN leads VIX futures in 2009 and 2010, while in 2011 and 2013, the ETPs’ leadership varies depending on the exchange-traded product under consideration. Furthermore, in 2013 before the change of trading hours, the VIX futures contribute more to price discovery than they do after trading hours expansion. Less of the price discovery occurs from the exchange-traded products in the latter half of the trading period in 2010. OLS regression results of the determinants of price discovery as well as panel regression results show that the effect of volume and spread, which are the main determinants of price discovery in the prior literature, change significantly before and after futures trading hour expansions, for both VIX futures and ETPs.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"9 1","pages":"63-79"},"PeriodicalIF":0.5,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45116707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio optimization with tri-objective for index fund management 指数基金管理的三目标投资组合优化
IF 0.5
Algorithmic Finance Pub Date : 2022-03-07 DOI: 10.3233/af-200378
Yao-Tsung Chen, Y. Sheng
{"title":"Portfolio optimization with tri-objective for index fund management","authors":"Yao-Tsung Chen, Y. Sheng","doi":"10.3233/af-200378","DOIUrl":"https://doi.org/10.3233/af-200378","url":null,"abstract":"Using an index fund is a popular strategy that is designed to simulate the behavior of a market index and obtain the excess return that is more stable than other mutual funds. In setting up an index fund, investors must first choose a small number of stocks and then assign a weight to each selected stock. However, with traditional methods, investors hardly determine how well the designed index fund can mimic the market index. The main objective of this paper is to demonstrate the improvement of index fund performance by using a multi-objective optimization algorithm that can assign weights automatically.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"9 1","pages":"121-127"},"PeriodicalIF":0.5,"publicationDate":"2022-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48385324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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