Publications (4)
Price of liquidity in the reinsurance of fund returns
David Saunders, Luis Seco, Markus Senn
This paper aims to extend downside protection to a hedge fund investment portfolio based on shared loss fee structures that have become increasing popular in the market. In particu…
Dynamic Investment Strategies Through Market Classification and Volatility: A Machine Learning Approach
Jinhui Li, Wenjia Xie, Luis Seco
This study introduces a dynamic investment framework to enhance portfolio management in volatile markets, offering clear advantages over traditional static strategies. Evaluates fo…
AlphaForge: A Framework to Mine and Dynamically Combine Formulaic Alpha Factors
Hao Shi, Weili Song, Xinting Zhang +5
The complexity of financial data, characterized by its variability and low signal-to-noise ratio, necessitates advanced methods in quantitative investment that prioritize both perf…
Machine Learning Techniques for Multifactor Analysis of National Carbon Dioxide Emissions
Wenjia Xie, Jinhui Li, Kai Zong +1
This paper presents a comprehensive study leveraging Support Vector Machine (SVM) regression and Principal Component Regression (PCR) to analyze carbon dioxide emissions in a globa…