Big Data and Machine Learning in Quantitative Investment (eBook)

TONY GUIDA is a senior investment manager in quantitative equity at the investment manager of a major UK pension fund in London, where he manages multifactor systematic equity portfolios. During his career, he held such positions as senior consultant for smart beta and risk allocation at EDHEC RISK Scientific Beta and senior research analyst at UNIGESTION. He is a former member of the research and investment committee for Minimum Variance Strategies, where he led the factor investing research group for institutional clients, and a regular speaker at quant conferences. Tony is chair of machineByte ThinkTank EMEA.

CHAPTER 1 Do Algorithms Dream About Artificial Alphas? 1
By Michael Kollo

CHAPTER 2 Taming Big Data 13
By Rado Lipus and Daryl Smith

CHAPTER 3 State of Machine Learning Applications in Investment Management 33
By Ekaterina Sirotyuk

CHAPTER 4 Implementing Alternative Data in an Investment Process 51
By Vinesh Jha

CHAPTER 5 Using Alternative and Big Data to Trade Macro Assets 75
By Saeed Amen and Iain Clark

CHAPTER 6 Big Is Beautiful: How Email Receipt Data Can Help Predict Company Sales 95
By Giuliano De Rossi, Jakub Kolodziej and Gurvinder Brar

CHAPTER 7 Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multifactor Framework 129
By Tony Guida and Guillaume Coqueret

CHAPTER 8 A Social Media Analysis of Corporate Culture 149
By Andy Moniz

CHAPTER 9 Machine Learning and Event Detection for Trading Energy Futures 169
By Peter Hafez and Francesco Lautizi

CHAPTER 10 Natural Language Processing of Financial News 185
By M. Berkan Sesen, Yazann Romahi and Victor Li

CHAPTER 11 Support Vector Machine-Based Global Tactical Asset Allocation 211
By Joel Guglietta

CHAPTER 12 Reinforcement Learning in Finance 225
By Gordon Ritter

CHAPTER 13 Deep Learning in Finance: Prediction of Stock Returns with Long Short-Term Memory Networks 251
By Miquel N. Alonso, Gilberto Batres-Estrada and Aymeric Moulin

Biography 279