Barrau Artificial Intelligence for Financial Markets 9783030973216

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Автор: Barrau (Баррау)
Название: Artificial Intelligence for Financial Markets
Перевод названия: Баррау: Искусственный интеллект для финансовых рынков
ISBN: 9783030973216
Издательство: Springer
Классификация:

Экономика, финансы, бизнес и управление

Прикладная математика

ISBN-10: 3030973212
Обложка/Формат: Soft cover
Страницы: 172
Вес: 0.35 кг.
Дата издания: 16.06.2023
Серия: Financial Mathematics and Fintech
Язык: English
Издание: 1st ed. 2022
Иллюстрации: 48 tables, color; 58 illustrations, color; 29 illustrations, black and white; xiv, 172 p. 87 illus., 58 illus. in color.
Размер: 153 x 234 x 14
Читательская аудитория: Professional & vocational
Основная тема: Mathematics
Подзаголовок: The polymodel approach
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 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.
Дополнительное описание: 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 Combinat

Artificial Intelligence for Financial Markets, Barrau