Machine Learning in Asset Management (by @firmai)

Overview

Machine Learning in Asset Management

If you like this type of content then visit ML Quant site below:

https://www.ml-quant.com/


Part One

Follow this link for SSRN paper.

If you feel like citing something you can use:

Snow, D (2020). Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading Strategies. The Journal of Financial Data Science, Winter 2020, 2 (1) 10-23.

This is the first in a series of articles dealing with machine learning in asset management. Asset management can be broken into the following tasks: (1) portfolio construction, (2) risk management, (3) capital management, (4) infrastructure and deployment, and (5) sales and marketing. This article focuses on portfolio construction using machine learning. Historically, algorithmic trading could be more narrowly defined as the automation of sell-side trade execution, but since the introduction of more advanced algorithms, the definition has grown to include idea generation, alpha factor design, asset allocation, position sizing, and the testing of strategies. Machine learning, from the vantage of a decision-making tool, can help in all these areas.

Editors: Frank J. Fabozzi | Marcos Lopéz de Prado | Joseph Simonian

This paper investigates various machine learning trading and portfolio optimisation models and techniques. The notebooks to this paper are Python based. By last count there are about 15 distinct trading varieties and around 100 trading strategies. Code and data are made available where appropriate. The hope is that this paper will organically grow with future developments in machine learning and data processing techniques. All feedback, contributions and criticisms are highly encouraged. You can find my contact details on the website, FirmAI.

Trading Strategies


1. Tiny CTA
Resources:
See this paper and blog for further explanation.
Data, Code


2. Tiny RL
Resources:
See this paper and/or blog for further explanation.
Data, Code


3. Tiny VIX CMF
Resources:
Data, Code


4. Quantamental
Resources:
Web-scrapers, Data, Code, Interactive Report, Paper.


5. Earnings Surprise
Resources:
Code, Paper


6. Bankruptcy Prediction
Resources:
Data, Code, Paper


7. Filing Outcomes
Resources:
Data


8. Credit Rating Arbitrage
Resources:
Code


9. Factor Investing:
Resources:
Paper, Code, Data


10. Systematic Global Macro
Resources:
Data, Code


11. Mixture Models
Resources:
Data, Code


12. Evolutionary
Resources:
Code, Repo


13. Agent Strategy
Resources:
Code, Repo


14. Stacked Trading
Resources:
Code, Blog


15. Deep Trading
Resources:
Code, Repo


Part Two:

Snow, D (2020). Machine Learning in Asset Management—Part 2: Portfolio Construction—Weight Optimization. The Journal of Financial Data Science, Spring 2020, 2 (1) 10-23.

This is the second in a series of articles dealing with machine learning in asset management. This article focuses on portfolio weighting using machine learning. Following from the previous article (Snow 2020), which looked at trading strategies, this article identifies different weight optimization methods for supervised, unsupervised, and reinforcement learning frameworks. In total, seven submethods are summarized with the code made available for further exploration.

Weight Optimisation (JFDS)


1. Deep Portfolio
Resources:
Data, Code, Paper


2. Linear Regression
Resources:
Code, Paper


3. Bayesian Sentiment
Resources:
Code


4. PCA and Hierarchical
Resource:
Code


5. HRP
Resources:
Data, Code


6. Network Graph
Resources:
Code


7. RL Deep Deterministic
Resources:
Code

Weight Optimisation (SSRN)


1. Online Portfolio Selection (OLPS)
Resources:
Code

Other (SSRN)


1. GANVaR
Resources:
Code


All Data and Code


Top 1% SSRN paper downloads

All Time Top 10 Paper :

Applied Computing eJournal, CompSciRN: Algorithms, CompSciRN: Clustering, Banking & Financial Institutions eJournals, CompSciRN: Artificial Intelligence, Econometric Modeling: Capital Markets - Portfolio Theory eJournal, Machine Learning eJournal

Other Projects

Other FirmAI projects include AtsPy automating Python's best time series models, PandaPy a data structure solutions that has the speed of NumPy and the usability of Pandas (10x to 50x faster), FairPut a holistic approach to implement fair machine learning outputs at the individual and group level, PandasVault a package for advanced pandas functions and code snippets, and ICR an interactive and fully automated corporate report built with Python.

Code for "PVNet: Pixel-wise Voting Network for 6DoF Pose Estimation" CVPR 2019 oral

Good news! We release a clean version of PVNet: clean-pvnet, including how to train the PVNet on the custom dataset. Use PVNet with a detector. The tr

ZJU3DV 722 Dec 27, 2022
Seasonal Contrast: Unsupervised Pre-Training from Uncurated Remote Sensing Data

Seasonal Contrast: Unsupervised Pre-Training from Uncurated Remote Sensing Data This is the official PyTorch implementation of the SeCo paper: @articl

ElementAI 101 Dec 12, 2022
This repo holds codes of the ICCV21 paper: Visual Alignment Constraint for Continuous Sign Language Recognition.

VAC_CSLR This repo holds codes of the paper: Visual Alignment Constraint for Continuous Sign Language Recognition.(ICCV 2021) [paper] Prerequisites Th

Yuecong Min 64 Dec 19, 2022
Using python and scikit-learn to make stock predictions

MachineLearningStocks in python: a starter project and guide EDIT as of Feb 2021: MachineLearningStocks is no longer actively maintained MachineLearni

Robert Martin 1.3k Dec 29, 2022
FwordCTF 2021 Infrastructure and Source code of Web/Bash challenges

FwordCTF 2021 You can find here the source code of the challenges I wrote (Web and Bash) in FwordCTF 2021 and the source code of the platform with our

Kahla 5 Nov 25, 2022
Deep Federated Learning for Autonomous Driving

FADNet: Deep Federated Learning for Autonomous Driving Abstract Autonomous driving is an active research topic in both academia and industry. However,

AIOZ AI 12 Dec 01, 2022
A deep learning CNN model to identify and classify and check if a person is wearing a mask or not.

Face Mask Detection The Model is designed to check if any human is wearing a mask or not. Dataset Description The Dataset contains a total of 11,792 i

1 Mar 01, 2022
[IROS2021] NYU-VPR: Long-Term Visual Place Recognition Benchmark with View Direction and Data Anonymization Influences

NYU-VPR This repository provides the experiment code for the paper Long-Term Visual Place Recognition Benchmark with View Direction and Data Anonymiza

Automation and Intelligence for Civil Engineering (AI4CE) Lab @ NYU 22 Sep 28, 2022
(under submission) Bayesian Integration of a Generative Prior for Image Restoration

BIGPrior: Towards Decoupling Learned Prior Hallucination and Data Fidelity in Image Restoration Authors: Majed El Helou, and Sabine Süsstrunk {Note: p

Majed El Helou 22 Dec 17, 2022
An Active Automata Learning Library Written in Python

AALpy An Active Automata Learning Library AALpy is a light-weight active automata learning library written in pure Python. You can start learning auto

TU Graz - SAL Dependable Embedded Systems Lab (DES Lab) 78 Dec 30, 2022
This repo generates the training data and the model for Morpheus-Deblend

Morpheus-Deblend This repo generates the training data and the model for Morpheus-Deblend. This is the active development repo for the project and as

Ryan Hausen 2 Apr 18, 2022
make ASCII Art by Deep Learning

DeepAA This is convolutional neural networks generating ASCII art. This repository is under construction. This work is accepted by NIPS 2017 Workshop,

OsciiArt 1.4k Dec 28, 2022
Repositorio de los Laboratorios de Análisis Numérico / Análisis Numérico I de FAMAF, UNC.

Repositorio de los Laboratorios de Análisis Numérico / Análisis Numérico I de FAMAF, UNC. Para los Laboratorios de la materia, vamos a utilizar el len

Luis Biedma 18 Dec 12, 2022
Breaking the Dilemma of Medical Image-to-image Translation

Breaking the Dilemma of Medical Image-to-image Translation Supervised Pix2Pix and unsupervised Cycle-consistency are two modes that dominate the field

Kid Liet 86 Dec 21, 2022
Implementation of Bagging and AdaBoost Algorithm

Bagging-and-AdaBoost Implementation of Bagging and AdaBoost Algorithm Dataset Red Wine Quality Data Sets For simplicity, we will have 2 classes of win

Zechen Ma 1 Nov 01, 2021
A Python package for time series augmentation

tsaug tsaug is a Python package for time series augmentation. It offers a set of augmentation methods for time series, as well as a simple API to conn

Arundo Analytics 278 Jan 01, 2023
Range Image-based LiDAR Localization for Autonomous Vehicles Using Mesh Maps

Range Image-based 3D LiDAR Localization This repo contains the code for our ICRA2021 paper: Range Image-based LiDAR Localization for Autonomous Vehicl

Photogrammetry & Robotics Bonn 208 Dec 15, 2022
PyTorch implementation of Neural View Synthesis and Matching for Semi-Supervised Few-Shot Learning of 3D Pose

Neural View Synthesis and Matching for Semi-Supervised Few-Shot Learning of 3D Pose Release Notes The official PyTorch implementation of Neural View S

Angtian Wang 20 Oct 09, 2022
Python with OpenCV - MediaPip Framework Hand Detection

Python HandDetection Python with OpenCV - MediaPip Framework Hand Detection Explore the docs » Contact Me About The Project It is a Computer vision pa

2 Jan 07, 2022
Unrolled Variational Bayesian Algorithm for Image Blind Deconvolution

unfoldedVBA Unrolled Variational Bayesian Algorithm for Image Blind Deconvolution This repository contains the Pytorch implementation of the unrolled

Yunshi HUANG 2 Jul 10, 2022