Artificial intelligence for financial markets : the polymodel approach / Thomas Barrau, Raphael Douady.
2022
HG4515.5
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Details
Title
Artificial intelligence for financial markets : the polymodel approach / Thomas Barrau, Raphael Douady.
Author
Barrau, Thomas, author.
ISBN
9783030973193 (electronic bk.)
3030973190 (electronic bk.)
9783030973186
3030973182
3030973190 (electronic bk.)
9783030973186
3030973182
Published
Cham : Springer, [2022]
Copyright
©2022
Language
English
Description
1 online resource : illustrations (some color).
Item Number
10.1007/978-3-030-97319-3 doi
Call Number
HG4515.5
Dewey Decimal Classification
332.640285/63
Summary
This book introduces the novel artificial intelligence technique of polymodels and applies it to the prediction of stock returns. The idea of polymodels is to describe a system by its sensitivities to an environment, and to monitor it, imitating what a natural brain does spontaneously. In practice this involves running a collection of non-linear univariate models. This very powerful standalone technique has several advantages over traditional multivariate regressions. With its easy to interpret results, this method provides an ideal preliminary step towards the traditional neural network approach. The first two chapters compare the technique with other regression alternatives and introduces an estimation method which regularizes a polynomial regression using cross-validation. The rest of the book applies these ideas to financial markets. Certain equity return components are predicted using polymodels in very different ways, and a genetic algorithm is described which combines these different predictions into a single portfolio, aiming to optimize the portfolio returns net of transaction costs. Addressed to investors at all levels of experience this book will also be of interest to both seasoned and non-seasoned statisticians.
Bibliography, etc. Note
Includes bibliographical references.
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Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed June 10, 2022).
Added Author
Douady, Raphaël, author.
Series
Financial mathematics and FinTech.
Available in Other Form
Print version: 9783030973186
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Table of Contents
1. Introduction
2. Polymodel Theory: An Overview
3. Estimation Method: the Linear Non-Linear Mixed Model
4. Predictions of Market Returns
5. Predictions of Industry Returns
6. Predictions of Specific Returns
7. Genetic Algorithm-Based Combination of Predictions
8. Conclusions
9. Appendix.
2. Polymodel Theory: An Overview
3. Estimation Method: the Linear Non-Linear Mixed Model
4. Predictions of Market Returns
5. Predictions of Industry Returns
6. Predictions of Specific Returns
7. Genetic Algorithm-Based Combination of Predictions
8. Conclusions
9. Appendix.