A Machine Learning Approach in Regime-Switching Risk Parity Portfolios

2021 ◽  
pp. jfds.2021.1.057
Author(s):  
A. Sinem Uysal ◽  
John M. Mulvey
2020 ◽  
Author(s):  
Katleho Makatjane ◽  
Roscoe van Wyk

Exchange rate volatility is said to exemplify the economic health of a country. Exchange rate break points (known as structural breaks) have a momentous impact on the macroeconomy of a country. Nonetheless, this country study makes use of both unsupervised and supervised machine learning algorithms to classify structural changes as regime shifts in real exchange rates in South Africa. Weekly data for the period January 2003–June 2020 are used. To these data we apply both non-linear principal component analysis and Markov-switching generalized autoregressive conditional heteroscedasticity. The former approach is used to reduce the dimensionality of the data using an orthogonal linear transformation by preserving the statistical variance of the data, with the proviso that a new trait is non-linearly independent, and it identifies the number of regime switches that are to be used in the Markov-switching model. The latter is used to partition the variance in each regime by allowing an estimation of multiple break transitions. The transition breakpoints estimates derived from this machine learning approach produce results that are comparable to other methods on similar system sizes. Application of these methods shows that the machine learning approach can also be employed to identify structural changes as a regime-switching process. During times of financial crisis, the growing concern over exchange rate volatility, including its adverse effects on employment and growth, broadens the debates on exchange rate policies. Our results should help the South African monetary policy committee to anticipate when exchange rates will pick up and be prepared for the effects of periods of high exchange rates.


Diabetes ◽  
2020 ◽  
Vol 69 (Supplement 1) ◽  
pp. 1552-P
Author(s):  
KAZUYA FUJIHARA ◽  
MAYUKO H. YAMADA ◽  
YASUHIRO MATSUBAYASHI ◽  
MASAHIKO YAMAMOTO ◽  
TOSHIHIRO IIZUKA ◽  
...  

2020 ◽  
Author(s):  
Clifford A. Brown ◽  
Jonny Dowdall ◽  
Brian Whiteaker ◽  
Lauren McIntyre

2017 ◽  
Author(s):  
Sabrina Jaeger ◽  
Simone Fulle ◽  
Samo Turk

Inspired by natural language processing techniques we here introduce Mol2vec which is an unsupervised machine learning approach to learn vector representations of molecular substructures. Similarly, to the Word2vec models where vectors of closely related words are in close proximity in the vector space, Mol2vec learns vector representations of molecular substructures that are pointing in similar directions for chemically related substructures. Compounds can finally be encoded as vectors by summing up vectors of the individual substructures and, for instance, feed into supervised machine learning approaches to predict compound properties. The underlying substructure vector embeddings are obtained by training an unsupervised machine learning approach on a so-called corpus of compounds that consists of all available chemical matter. The resulting Mol2vec model is pre-trained once, yields dense vector representations and overcomes drawbacks of common compound feature representations such as sparseness and bit collisions. The prediction capabilities are demonstrated on several compound property and bioactivity data sets and compared with results obtained for Morgan fingerprints as reference compound representation. Mol2vec can be easily combined with ProtVec, which employs the same Word2vec concept on protein sequences, resulting in a proteochemometric approach that is alignment independent and can be thus also easily used for proteins with low sequence similarities.


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