A framework for online investment decisions

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2020-03-30 DOI:10.1080/10293523.2020.1806460

A. Paskaramoorthy, T. Gebbie, Terence L. van Zyl

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引用次数: 2

Abstract

ABSTRACT The artificial segmentation of the investment management process into silos of human operators can restrict silos from collectively and adaptively pursuing a unified investment goal. In this article, we argue that the investment process can be accelerated and be made more cohesive by replacing batch processing for component tasks of the investment process with online processing. We propose an integrated and online framework for investment workflows, where components produce outputs that are automatically and sequentially updated as new data arrives. The workflow can be further enhanced to refine signal generation and asset class evolution and definitions. Our results demonstrate that we use this framework in conjunction with resampling methods to optimise component decisions with direct reference to investment objectives while making clear the extent of backtest overfitting. We consider such an online update framework to be a crucial step towards developing intelligent portfolio selection algorithms that integrate financial theory, investor views, and data analysis with process-level learning.

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在线投资决策的框架

人为地将投资管理过程分割为人为操作者的“孤岛”，可以限制“孤岛”集体地、自适应地追求统一的投资目标。在本文中，我们认为投资过程可以通过用在线处理取代投资过程组件任务的批处理来加速并使其更具凝聚力。我们为投资工作流提出了一个集成的在线框架，其中组件产生的输出在新数据到达时自动和顺序更新。工作流可以进一步增强，以细化信号生成和资产类别的演变和定义。我们的结果表明，我们将此框架与重采样方法结合使用，以直接参考投资目标来优化组件决策，同时明确回测过拟合的程度。我们认为这样的在线更新框架是开发智能投资组合选择算法的关键一步，该算法将金融理论、投资者观点和数据分析与过程级学习相结合。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.