Stock Prices; a machine learning approach – Financial time series forecasting with machine learning

Machine learning is the ability for computers to learn and improve without being explicitly programmed to do so. The techniques have been around for a while but not applicable due to technological constraints. However, with today’s computational power and the availability of data, one can efficiently create and train powerful models. The aim of this [...]

TRADING THROUGH ARTIFICIAL EYES – Time Series Classifications Using Deep Neural Networks

Simply the appearance of historical price data contains lots of information. Our trading system is able to see historical prices in a similar way to humans, it can detect visual features of price windows from which it is able to make profitable trades. The main feature of this system is the computer vision algorithm, a [...]

Spinoffs – The crossover strategy

Research has shown that several factors cause spinoffs to have an increased initial volatility. The trading system in this report analyses and trades on 39 different spinoffs from 10 years back, focusing on spinoffs from the New York Stock Exchange. The main driver of the system is the high initial volatility created in spinoffs from IPO. The [...]

THE CDS PORTFOLIO – A zero investment strategy using credit default swap pricing as indicator of equity market inefficiency

“Higher risk yields higher return” is a backbone in financial analysis. The portfolio strategy is that this is true for credit risk as well, to measure credit risk this research uses the credit default swap (CDS) for 347 stocks included in the S&P 500. This strategy was able to outperform the S&P 500 portfolio over [...]

Trading on Historical Repetitiveness – a Hedging Strategy Against the S&P 500

Human behavior tends to react in akin ways, hence creating opportunities to implement profitable strategies. Our trading strategy identifies historical similarities in the development of the percentage relation between EUR/USD. By comparing a current pattern with historical ones, the system provides the user with trading recommendations. The system’s main feature is the prediction algorithm, which [...]

Spinoffs – Trading Spinoffs

Research has shown that several factors causes spinoffs to have an increased initial volatility. The trading system in this report analyses and trades on 16 different spinoffs from 10 years back, focusing on spinoffs from the Stockholm Stock Exchange. The main driver of the system is the high initial volatility created in spinoffs from IPO. [...]

Overlooked Opportunities in Oil – Going short on exposed oil companies

During 2018 the prices of WTI and Brent crude oil have certainly had their ups, and more recently, downs. This report outlines what will drive the oil prices over the coming months and suggests taking a short position in two energy companies whose stock prices correlate highly with the prices of WTI and Brent crude [...]

INVESTWEETS – Trading on sentiment

There is no doubt that sentiment affects decisions and thus market prices. Our trading system uses Twitter data to measure the sentiment for 26 stocks included in the S&P 500 stock market index. By analyzing the sentiment, the system is able to exploit behavioral biases. The main feature of the system is the word analysis [...]