scholarly journals Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning

2021 ◽  
Author(s):  
Chulwoo Han
Keyword(s):  
Machine Learning ◽  
Return Predictability ◽  
Short Term ◽  
Momentum Strategy ◽  
Cross Sectional ◽  
Large Loss ◽  
A Value ◽  
Five Factors ◽  
The U.S ◽  
Machine Learning Models

This paper documents the bimodality of momentum stocks: both high- and low-momentum stocks have nontrivial probabilities for both high and low returns. The bimodality makes the momentum strategy fundamentally risky and can cause a large loss. To alleviate the bimodality and improve return predictability, this paper develops a novel cross-sectional prediction model via machine learning. By reclassifying stocks based on their predicted financial performance, the model significantly outperforms off-the-shelf machine learning models. Tested on the U.S. market, a value-weighted long-short portfolio earns a monthly alpha of 2.4% (t-statistic = 6.63) when regressed against the Fama–French five factors plus the momentum and short-term reversal factors. This paper was accepted by Kay Giesecke, finance.

scholarly journals Machine Learning in Futures Markets

2021 ◽  
Vol 14 (3) ◽  
pp. 119
Author(s):  
Fabian Waldow ◽  
Matthias Schnaubelt ◽  
Christopher Krauss ◽  
Thomas Günter Fischer
Keyword(s):  
Machine Learning ◽  
Futures Markets ◽  
Learning Models ◽  
Cross Sectional ◽  
Data Set ◽  
Statistical Arbitrage ◽  
Out Of Sample ◽  
Sample Testing ◽  
Arbitrage Strategy ◽  
Machine Learning Models

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading framework and compile a data set comprised of 60 futures covering nearly 10 trading years. Next, we train several machine learning models to predict whether the h-day-ahead return of each future out- or underperforms the corresponding cross-sectional median return. Finally, we enter long/short positions for the top/flop-k futures for a duration of h days and assess the financial performance of the resulting portfolio in an out-of-sample testing period. Thereby, we find the machine learning models to yield statistically significant out-of-sample break-even transaction costs of 6.3 bp—a clear challenge to the semi-strong form of market efficiency. Finally, we discuss sources of profitability and the robustness of our findings.

scholarly journals Short-Term Prediction of COVID-19 Cases Using Machine Learning Models

2021 ◽  
Vol 11 (9) ◽  
pp. 4266
Author(s):  
Md. Shahriare Satu ◽  
Koushik Chandra Howlader ◽  
Mufti Mahmud ◽  
M. Shamim Kaiser ◽  
Sheikh Mohammad Shariful Islam ◽  
...  
Keyword(s):  
Machine Learning ◽  
Web Application ◽  
Learning Models ◽  
Short Term ◽  
Infected People ◽  
Infected Case ◽  
First Case ◽  
Novel Coronavirus ◽  
Short Term Prediction ◽  
Machine Learning Models

The first case in Bangladesh of the novel coronavirus disease (COVID-19) was reported on 8 March 2020, with the number of confirmed cases rapidly rising to over 175,000 by July 2020. In the absence of effective treatment, an essential tool of health policy is the modeling and forecasting of the progress of the pandemic. We, therefore, developed a cloud-based machine learning short-term forecasting model for Bangladesh, in which several regression-based machine learning models were applied to infected case data to estimate the number of COVID-19-infected people over the following seven days. This approach can accurately forecast the number of infected cases daily by training the prior 25 days sample data recorded on our web application. The outcomes of these efforts could aid the development and assessment of prevention strategies and identify factors that most affect the spread of COVID-19 infection in Bangladesh.

scholarly journals Prediction of Head Movement in 360-Degree Videos Using Attention Model

Sensors ◽  
2021 ◽  
Vol 21 (11) ◽  
pp. 3678
Author(s):  
Dongwon Lee ◽  
Minji Choi ◽  
Joohyun Lee
Keyword(s):  
Machine Learning ◽  
Short Term Memory ◽  
Moving Average ◽  
The Other ◽  
Learning Models ◽  
Short Term ◽  
Term Memory ◽  
Attention Model ◽  
Long Short Term Memory ◽  
Machine Learning Models

In this paper, we propose a prediction algorithm, the combination of Long Short-Term Memory (LSTM) and attention model, based on machine learning models to predict the vision coordinates when watching 360-degree videos in a Virtual Reality (VR) or Augmented Reality (AR) system. Predicting the vision coordinates while video streaming is important when the network condition is degraded. However, the traditional prediction models such as Moving Average (MA) and Autoregression Moving Average (ARMA) are linear so they cannot consider the nonlinear relationship. Therefore, machine learning models based on deep learning are recently used for nonlinear predictions. We use the Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) neural network methods, originated in Recurrent Neural Networks (RNN), and predict the head position in the 360-degree videos. Therefore, we adopt the attention model to LSTM to make more accurate results. We also compare the performance of the proposed model with the other machine learning models such as Multi-Layer Perceptron (MLP) and RNN using the root mean squared error (RMSE) of predicted and real coordinates. We demonstrate that our model can predict the vision coordinates more accurately than the other models in various videos.

scholarly journals Ambient Monitoring of Gait and Machine Learning Models for Dynamic and Short-Term Falls Risk Assessment in People With Dementia

2021 ◽  
Author(s):  
Navid Korhani ◽  
Babak Taati ◽  
Andrea Iaboni ◽  
Andrea Sabo ◽  
Sina Mehdizadeh ◽  
...  
Keyword(s):  
Machine Learning ◽  
Risk Assessment ◽  
Fall Risk ◽  
Learning Models ◽  
Short Term ◽  
Ambient Monitoring ◽  
Clinical Assessments ◽  
People With Dementia ◽  
Time Of Admission ◽  
Machine Learning Models

Data consists of baseline clinical assessments of gait, mobility, and fall risk at the time of admission of 54 adults with dementia. Furthermore, it includes the participants' daily medication intake in three medication categories, and frequent assessments of gait performed via a computer vision-based ambient monitoring system.

scholarly journals "Smart Tanks": An Intelligent High-Throughput Intervention Testing Platform in Daphnia

2021 ◽  
Author(s):  
Yongmin Cho ◽  
Rachael A Jonas-Closs ◽  
Lev Y Yampolsky ◽  
Marc W Kirschner ◽  
Leonid Peshkin
Keyword(s):  
Machine Learning ◽  
Chronological Age ◽  
Complex Behavior ◽  
Learning Models ◽  
Short Term ◽  
Health Span ◽  
Response Profile ◽  
Automated Phenotyping ◽  
Machine Learning Models

We present a novel platform for testing the effect of interventions on life- and health-span of a short-lived semi transparent freshwater organism, sensitive to drugs with complex behavior and physiology - the planktonic crustacean Daphnia magna. Within this platform, dozens of complex behavioural features of both routine motion and response to stimuli are continuously accurately quantified for large homogeneous cohorts via an automated phenotyping pipeline. We build predictive machine learning models calibrated using chronological age and extrapolate onto phenotypic age. We further apply the model to estimate the phenotypic age under pharmacological perturbation. Our platform provides a scalable framework for drug screening and characterization in both life-long and instant assays as illustrated using long term dose response profile of metformin and short term assay of such well-studied substances as caffeine and alcohol.

Bond Risk Premiums with Machine Learning

2020 ◽  
Author(s):  
Daniele Bianchi ◽  
Matthias Büchner ◽  
Andrea Tamoni
Keyword(s):  
Machine Learning ◽  
Yield Curve ◽  
Return Predictability ◽  
Time Varying ◽  
Short Term ◽  
Risk Premiums ◽  
Machine Learning Methods ◽  
Yield Information ◽  
Bond Return ◽  
Bond Risk

Abstract We show that machine learning methods, in particular, extreme trees and neural networks (NNs), provide strong statistical evidence in favor of bond return predictability. NN forecasts based on macroeconomic and yield information translate into economic gains that are larger than those obtained using yields alone. Interestingly, the nature of unspanned factors changes along the yield curve: stock- and labor-market-related variables are more relevant for short-term maturities, whereas output and income variables matter more for longer maturities. Finally, NN forecasts correlate with proxies for time-varying risk aversion and uncertainty, lending support to models featuring both channels.

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