Strategy Replication – Evolutionary Optimization based on Financial Sentiment Data

Mintegration with this interesting post on Evolutionary Optimization applied to Portfolio Management :

STRATEGY REPLICATION – EVOLUTIONARY OPTIMIZATION BASED ON FINANCIAL SENTIMENT DATA

mintegration blog

Wow, I enjoyed replicating this neatly written paper by Ronald Hochreiter.
Ronald is an Assistant Professor at the Vienna University of Economics and Business (Institute for Statistics and Mathematics).

In his paper he applies evolutionary optimization techniques to compute optimal rule-based trading strategies based on financial sentiment data.

The evolutionary technique is a general Genetic Algorithm (GA).

The GA is a mathematical optimization algorithm drawing inspiration from the processes of biological evolutionto breed solutions to problems. Each member of the population (genotype) encodes a solution (phenotype) to the problem. Evolution in the population of encodings is simulated by means of evolutionary processes; selection, crossover and

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Via Daily Fintech with care – ‘Help us to complete this Banking API Wiki on Fintech Genome’

With courtesy from Daily Fintech I kindly share the whole recent post on the Banking API Fintech Genome project:

Help us to complete this Banking API Wiki on Fintech Genome

A major theme that we track on Daily Fintech is the “programmable bank”, how innovation is enabled by APIs that abstract complex layers of utility services so that innovators can focus on “rebundling” (creating new UX based on integrating unbundled best of breed services). We are also big believers in the open source model of knowledge co-creation that was the concept behind Fintech Genome. This wiki on Fintech Genome is where those two threads come together. You can see the chronological story, starting with a  simple question, followed by the community kicking into contribute more knowledge. Help us get the job complete. You can contribute via comments and then somebody edits the wiki. Or, Once you reach Level 1 on Fintech Genome, you can directly edit a wiki and that is obviously more efficient. (Read this to understand Levels on Fintech Genome.   Don’t worry it is very easy to get to Level 1).

Why Banking APIs matter to the acceleration of Fintech innovation

Banks that want to transform into Fintech-like transaction banking platforms do so by exposing all the services they offer via APIs. This enables a lot of innovation because Banks or Fintechs operating higher up the stack do not need to all build/buy this utility layer.

This also enables the rebundling that we describe in this post.

Current Snapshot of the Banking API Wiki

This is a work in progress. Go to this thread on the Fintech Genome to see the current state.

Tools & Platforms:

OpenBankProject https://openbankproject.com

F2 Framework https://www.openf2.org 

Plaid – https://plaid.com/ – a tool that enables applications to connect with user’s bank accounts. Should get a big boost from PSD2.

3rd party providers

Kontomatik Banking API41

Coverage: UK, Poland, Czech Republic, Slovakia, Spain, Portugal, Mexico, Brazil, Russia.

Banks (listing by HO location, most operate in multiple countries).

France: BNP Paribas Open Bank Project11

Coverage (BNP Paribas Group Banks only): UK, US, Poland, France, France, Turkey, Italy

Spain: BBVA Compass

https://bbvaopen4u.com/en/actualidad/your-api-key-turns-bank-open-innovation-platform

Germany: Figo https://figo.io and Fidor http://docs.fidor.de

UK: Mondo https://getmondo.co.uk/docs/

Singapore: OCBC https://api.ocbc.com/store/

Wealth Management Focus

Xignite http://www.xignite.com/

Hedgeable http://www.programmableweb.com/api/hedgeable

Saxo Bank http://www.saxobank.com/news/press/saxo-opens-access-to-its-trading-infrastructure-with-the-launch-of-openapi

How you can contribute

On Daily Fintech, we publish snapshots of what we learn on the Fintech Genome. You can stay at this summary layer or dive deep into the subject by going into the Fintech Genome.

You can contribute in three ways depending on how much you want to get involved.

  • Comment here on Daily Fintech. No need to register (Daily Fintech is ungated). However if you want to have your contributions recognised within the global Fintech community, you may want to take a minute to register with your real ID on Fintech Genome and contribute there.

Fintech thought-leaders who contributed to the Banking API knowledge include:

Konstantin Rabin

Andre Fassler

Eric Forgy

Al Gaillard

Stefan Buetler

Julia Madden

 

 

 

Re-share: JPMorgan lost two leaders on its blockchain project — Quartz

Two senior leaders of JPMorgan’s blockchain project, Juno, have left the firm to found their own blockchain startup. Will Martino, a developer, and Stuart Popejoy, previously the executive director within the bank’s new product development division, started Kadena.io in June, the two confirmed to Quartz. Popejoy had been the head of Juno, and Martino was…

via JPMorgan lost two leaders on its blockchain project — Quartz

Interview in OpalesqueTV: ” Melvyn Teo, Singapore Management University, Director BNP Paribas Hedge Fund Centre “

From the page on the OpalesqueTV youtube channel. This is video from 2010, but I thought it still carries relevance and long-term logic:

Opalesque’s first CAMPUS series features Melvyn Teo, Associate Professor of Finance at Singapore Management University. Teo is also Director of the BNP Paribas Hedge Fund Centre at the Singapore Management University.

In this Opalesque CAMPUS, Teo shares his findings that hedge funds charging lower than average performance fees tend to have a higher liquidity risk, which will translate into problems for investors, when they try to pull money out of the fund. One example of such a problem is the “return impact” of redemptions, when the return of the fund tends to fall in the next month.

Teo also gives specific recommendations what investors can do to better understand the liquidity risk a fund may carry.

 

From QuantLabs.net 3: “Scanning hot sectors for market trading within UK “

And the number 3:

Scanning hot sectors for market trading within UK

A quick run down on which market sectors could get hot within the UK. These could be very useful to break

Join my FREE newsletter if you are ever interested to see what I trade with these type of Python scripts

 

 

 

Image of the UK flag: Wikipedia.org

From QuantLabs.net 2: “Scanning hot sectors for market trading within Europe “

The second installment from Quantlabs.net. This time on trading opportunities within European Union:

 

Scanning hot sectors for market trading within Europe

A quick run down on which market sectors could get hot within what country of the Euro Area. These could be very useful to break down trading opportunities by country and economic trading for ETF or indices.

 

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