{"title":"Portfolio allocation based on expected profit and loss measures","authors":"J. Venter, P. D. Jongh","doi":"10.21314/JOIS.2021.003","DOIUrl":"https://doi.org/10.21314/JOIS.2021.003","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45503586","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}
{"title":"Quant investing in cluster portfolios","authors":"A. Akansu, M. Avellaneda, Anqi Xiong","doi":"10.21314/JOIS.2021.006","DOIUrl":"https://doi.org/10.21314/JOIS.2021.006","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47317844","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}
Jeremy Van Dyken, Houshang Habibniya, Maia Chiabrishvili
{"title":"Realized profits on the Stationary Offshore Ocean Economy: an analysis","authors":"Jeremy Van Dyken, Houshang Habibniya, Maia Chiabrishvili","doi":"10.21314/JOIS.2021.001","DOIUrl":"https://doi.org/10.21314/JOIS.2021.001","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43089083","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}
We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the 'Fix'. Execution at the Fix is a service offered by brokers provided they obtain the trade order before 4pm GMT. We have three main goals with this paper: (i) to show a connection between equities and foreign exchange markets via this window; (ii) to leverage this connection using an algorithmic trading strategy; and (iii) to rank various statistical techniques used to make predictions for trading. We are successful in all three endeavors with the best technique producing an out-of-sample annual cumulative return of 4.02% with an annualized Sharpe ratio of 3.43.
我们研究了在WM/路透社基准汇率“Fix”及其附近的股票和外汇市场之间的关系。Execution at the Fix是经纪人提供的一项服务，前提是他们在格林尼治标准时间下午4点之前获得交易订单。我们的论文有三个主要目标：（i）通过这个窗口展示股票和外汇市场之间的联系；（ii）使用算法交易策略来利用这种联系；以及（iii）对用于进行交易预测的各种统计技术进行排名。我们在这三项努力中都取得了成功，采用了最佳技术，产生了4.02%的样本外年累积回报率，年夏普比率为3.43。
{"title":"Connecting Equity and Foreign Exchange Markets Through the WM Fix: A Trading Strategy","authors":"Arnav Sheth, K. Teeple","doi":"10.2139/SSRN.3069629","DOIUrl":"https://doi.org/10.2139/SSRN.3069629","url":null,"abstract":"We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the 'Fix'. Execution at the Fix is a service offered by brokers provided they obtain the trade order before 4pm GMT. We have three main goals with this paper: (i) to show a connection between equities and foreign exchange markets via this window; (ii) to leverage this connection using an algorithmic trading strategy; and (iii) to rank various statistical techniques used to make predictions for trading. We are successful in all three endeavors with the best technique producing an out-of-sample annual cumulative return of 4.02% with an annualized Sharpe ratio of 3.43.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/SSRN.3069629","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47901813","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}
{"title":"Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy","authors":"Arnav Sheth, K. Teeple","doi":"10.21314/jois.2020.114","DOIUrl":"https://doi.org/10.21314/jois.2020.114","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45145355","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}
Investments in domestic multinational firms can provide an indirect route for investors to diversify internationally (Farooqi, Huerta, & Ngo, 2015). Therefore, a priori, one would expect investors to increase their exposure to MNCs when the domestic market is declining, and decrease their exposure to domestic firms. Using a 20 year dataset of all publicly listed US firms spanning 1995 to 2014 we find the opposite. We find that investors favour domestic firms to MNCs in declining markets. We analyse share ownership data and propose that the diverging investment preferences of institutional and retail investors may be driving our results.
{"title":"Should we invest more in multinational companies when domestic markets decline?","authors":"Martha O'Hagan‐Luff, J. Berrill, B. Lucey","doi":"10.21314/JOIS.2019.113","DOIUrl":"https://doi.org/10.21314/JOIS.2019.113","url":null,"abstract":"Investments in domestic multinational firms can provide an indirect route for investors to diversify internationally (Farooqi, Huerta, & Ngo, 2015). Therefore, a priori, one would expect investors to increase their exposure to MNCs when the domestic market is declining, and decrease their exposure to domestic firms. Using a 20 year dataset of all publicly listed US firms spanning 1995 to 2014 we find the opposite. We find that investors favour domestic firms to MNCs in declining markets. We analyse share ownership data and propose that the diverging investment preferences of institutional and retail investors may be driving our results.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"8 1","pages":"1-21"},"PeriodicalIF":0.0,"publicationDate":"2020-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47088530","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}
In this paper, we analyze the differences between an optimal portfolio of funds that an investor may take under complete information and the actual structure of the mutual fund market characterized by a fund’s risk profile (conservative or aggressive) as well as the type of investor (retail or wholesale) at which a fund is aimed. We find that, with the exception of the fees, the relationship between the fund age, the market share and the change in the fund’s total net assets and the optimal portfolio of funds depends on the mutual fund market structure.
{"title":"Why are investors’ mutual fund market allocations far from optimal?","authors":"R. Laborda, Ramiro Losada","doi":"10.21314/JOIS.2018.099","DOIUrl":"https://doi.org/10.21314/JOIS.2018.099","url":null,"abstract":"In this paper, we analyze the differences between an optimal portfolio of funds that an investor may take under complete information and the actual structure of the mutual fund market characterized by a fund’s risk profile (conservative or aggressive) as well as the type of investor (retail or wholesale) at which a fund is aimed. We find that, with the exception of the fees, the relationship between the fund age, the market share and the change in the fund’s total net assets and the optimal portfolio of funds depends on the mutual fund market structure.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45355281","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}
Pub Date : 2018-03-27DOI: 10.20944/PREPRINTS201707.0090.V1
Zachariah Peterson
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. The model developed here combines risk and return into a single objective function by incorporating a risk parameter. This model is then solved for a portfolio of 10 stocks from a major stock exchange using a differential evolution algorithm. Monte Carlo calculations are used to verify the accuracy of the results obtained from differential evolution. The results show that evolutionary algorithms can be successfully applied to solve a portfolio optimization problem where returns are calculated by applying Kelly's Criterion to each of the assets in the portfolio.
{"title":"The Kelly criterion in portfolio optimization: a decoupled problem","authors":"Zachariah Peterson","doi":"10.20944/PREPRINTS201707.0090.V1","DOIUrl":"https://doi.org/10.20944/PREPRINTS201707.0090.V1","url":null,"abstract":"Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. The model developed here combines risk and return into a single objective function by incorporating a risk parameter. This model is then solved for a portfolio of 10 stocks from a major stock exchange using a differential evolution algorithm. Monte Carlo calculations are used to verify the accuracy of the results obtained from differential evolution. The results show that evolutionary algorithms can be successfully applied to solve a portfolio optimization problem where returns are calculated by applying Kelly's Criterion to each of the assets in the portfolio.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"7 1","pages":"53-76"},"PeriodicalIF":0.0,"publicationDate":"2018-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45796445","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}
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