If you feel like citing something you can use:
Snow, D (2020). Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading Strategies. The Journal of Financial Data Science, Winter 2020, 2 (1) 10-23.
This is the first in a series of articles dealing with machine learning in asset management. Asset management can be broken into the following tasks: (1) portfolio construction, (2) risk management, (3) capital management, (4) infrastructure and deployment, and (5) sales and marketing. This article focuses on portfolio construction using machine learning. Historically, algorithmic trading could be more narrowly defined as the automation of sell-side trade execution, but since the introduction of more advanced algorithms, the definition has grown to include idea generation, alpha factor design, asset allocation, position sizing, and the testing of strategies. Machine learning, from the vantage of a decision-making tool, can help in all these areas.
Editors: Frank J. Fabozzi | Marcos Lopéz de Prado | Joseph Simonian
This paper investigates various machine learning trading and portfolio optimisation models and techniques. The notebooks to this paper are Python based. By last count there are about 15 distinct trading varieties and around 100 trading strategies. Code and data are made available where appropriate. The hope is that this paper will organically grow with future developments in machine learning and data processing techniques. All feedback, contributions and criticisms are highly encouraged. You can find my contact details on the website, FirmAI.
1. Tiny CTA
Resources:
See this paper and blog for further explanation.
Data, Code
2. Tiny RL
Resources:
See this paper and/or blog for further explanation.
Data, Code
3. Tiny VIX CMF
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Data, Code
4. Quantamental
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Web-scrapers, Data, Code, Interactive Report, Paper.
5. Earnings Surprise
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Code, Paper
6. Bankruptcy Prediction
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Data, Code, Paper
7. Filing Outcomes
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Data
8. Credit Rating Arbitrage
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Code
9. Factor Investing:
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Paper, Code, Data
10. Systematic Global Macro
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Data, Code
11. Mixture Models
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Data, Code
12. Evolutionary
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Code, Repo
13. Agent Strategy
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Code, Repo
14. Stacked Trading
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Code, Blog
15. Deep Trading
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Code, Repo
1. Online Portfolio Selection (OLPS)
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Code
3. Deep
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Data, Code, Paper
4. Linear Regression
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Code, Paper
5. PCA and Hierarchical
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Code
1. GANVaR
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Code
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