Artificial Intelligence for Financial Markets : The Polymodel Approach
2022 ed.
Book Details
Format
Paperback / Softback
Book Series
Financial Mathematics and Fintech
ISBN-10
3030973212
ISBN-13
9783030973216
Edition
2022 ed.
Publisher
Springer Nature Switzerland AG
Imprint
Springer Nature Switzerland AG
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Jun 2nd, 2023
Print length
172 Pages
Weight
354 grams
Dimensions
15.30 x 23.40 x 1.40 cms
Product Classification:
Economics, finance, business & managementApplied mathematics
Ksh 16,200.00
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This book introduces the novel artificial intelligence technique of polymodels and applies it to the prediction of stock returns.
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 describedwhich 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.
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