Intelligent Probabilistic Risk Forecasting With Applications to Algorithmic Trading and Portfolio Optimization
Bibliographic record
Abstract
A novel volatility forecasting approach is explored with applications in algorithmic trading and portfolio optimization. The mathematical algorithms applied to algorithmic trading will be the Kalman filter and Hidden Markov Models. The Kalman filter will be applied to construct a pairs trading strategy. The trading strategy using a Kalman filter is then extended to take advantage of a Hidden Markov model to identify different asset price regions. Three pairs of trading approaches, KFIVF explored in [15], DDIVF first explored in [16], and DDIVF-HMM introduced in [2], will be compared. The second topic that is discussed in detail in chapter 4 is portfolio optimization using Data-Driven exponential moving average (DD-EWMA). The volatility forecasting models are used to study the generalized dynamic portfolio optimization using intelligent probabilistic forecasts based on the data-driven t distribution of the portfolio returns distribution. [1].
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.004 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.001 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".