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

June 20, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles Premium

VaR Estimation: Condition Shortfall

June 13, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles Premium

VaR Estimation: Variance-Covariance and Historical Simulation Methods

June 7, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles Premium

Portfolio Construction Based on High Moment Distribution Parameters

May 28, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles Premium

IKF Algorithm: Application Tips

May 18, 2022
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

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles

Portfolio Construction Based on Fundamental Ratios

May 16, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles Premium

Stock Market Forecast: Does the Stock Market Feature Memory?

April 28, 2022
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.

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles

The World of Decentralized Finance

April 12, 2022
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

premiumRead The Full Premium Article

Subscribe to receive exclusive PREMIUM content here
Algorithmic Articles
Pages:1234567...106»