Market Efficiency: Testing Random Walk by the Runs Test and the Variance Ratio Test

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The stock market is not efficient which leaves a place to beat the market in a systematic way.
  • The market efficiency can be different from time to time, and the hypothesis of Random Walk cannot be rejected for some periods.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks in the chaotic market.

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VaR Estimation: Condition Shortfall

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • VaR does not provide insight into what losses might occur if the situation is worse than the threshold that we assume.
  • The Expected Shortfall method enables us to estimate the amount of tail risk an investment portfolio has.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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VaR Estimation: Variance-Covariance and Historical Simulation Methods

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • VaR allows us to estimate possible financial losses in different scenarios.
  • Historical Simulation VaR provides us with a significantly different result from the respective Variance-Covariance VaR for very high confidence intervals which depends on the normality assumption.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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Portfolio Construction Based on High Moment Distribution Parameters

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Investors are differentiated according to different risk-taking levels, which leads to the existence of different portfolios taking into account investor preferences.
  • The four moments utility function enables us to construct portfolios taking into account investors' preferences about risk-aversion.
  • I Know First provides different forecast packages which allow us to select the most promising stocks for portfolio optimization.

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IKF Algorithm: Application Tips

I Know First Research Team LogoThis article was written by the I Know First Research Team.

Summary:

  • The use of mathematics and algorithms eliminates a big problem that all of us share, being emotional.
  • IKF provides an efficient AI algorithm for finding promising financial assets.
  • There are several tips that allow us to correctly interpret the output of the INF algorithm

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Portfolio Construction Based on Fundamental Ratios

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • Relative valuation is one of the basic concepts of stock evaluation that allows to determine undervalued stocks.
  • The Treynor-Black model allows to construct a portfolio with active and passive investment parts.
  • I Know First provides the Fundamental Stocks Package based on the AI algorithm which allows to select of the most promising stocks based on the fundamental criteria.

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Stock Market Forecast: Does the Stock Market Feature Memory?

This article was written by:

Sergey Okun  Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa IartsevaAlisa Iartseva – Data analyst at I Know First.

Highlights:

  • The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
  • The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
  • The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.

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The World of Decentralized Finance

Yuxiao YangThis article: "The World of Decentralized Finance" was written by Yuxiao Yang – Financial Analyst at I Know First.

Summary:

  • Decentralized finance allows users to get rid of third-party financial institutions for direct transactions.
  • In the decentralized financial system, the market remains open at any time, transaction-related information is open and transparent for inquiry, and users can choose anonymous transactions.
  • The I Know First AI allows to find promising investment opportunit

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