2 papers
q-fin.PM2021
Machine Learning and Factor-Based Portfolio Optimization
Thomas Conlon, John Cotter, Iason Kynigakis
We examine machine learning and factor-based portfolio optimization. We find that factors based on autoencoder neural networks exhibit a weaker relationship with commonly used char…
q-fin.RM2011
An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition
Thomas Conlon, John Cotter
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to cal…