AI In Asset Allocation: Smart Tech For Smart Money

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

The financial industry as we know it – or knew it, at least, – is going through a transformation. Wolves of Wall Street, clad in their bespoke suits worth the budget of a small country, are giving up some space to the cohort of jeans-wearing millennials. And this new crowd brings more than a change in fashion. The generation of digital natives has a taste for all things high-tech and the know-how and savvy to make the reality live up to their taste.

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Artificial Intelligence and machine learning, two of the hottest buzzwords of today, play a major role in this process. This technology lies

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Bayesian Neural Networks: Bayes’ Theorem Applied to Deep Learning

 

The article was written by Amber Zhou, a Financial Analyst at I Know First.

Highlights:

  • Vanilla Deep Learning Method: Multilayer Perceptron (MLP)
  • Introduction to Bayes’ Theorem
  • Application of Bayes’ Theorem: Bayesian Inference
  • Combination: Bayesian Neural Networks
  • How I Know First Utilizes Bayesian Neural Networks for Forecasting

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Evaluation Report For The Nikkei 225 Stock Universe – Consistently Outperforming Benchmarks

Executive Summary

In this Live Forecast Evaluation Report, we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the Japanese stock market and sent to our customers on a daily basis. Our analysis covers the time period from January 1, 2018 – November 31, 2018. The following results were observed when signal and predictability filters were applied in order to pick the best performing stocks out of the most predictable ones. The main findings for the returns distribution of stock filters (stocks subsets) for the Nikkei 225 universe are outlined below:

Nikkei 225 Highlights:

  • Signal indicator filter applied to Top 30 most predictable stocks provides the highest return of 3.80% for Top 10 stocks on 3-months’ investment horizon.
  • We observe clear increasing trend on returns improving with the increase of forecast time horizon – the change in returns from 1 month to 3 months is more than 1361.5% for Top 10 stocks.
  • Top 10 stocks significantly out-perform both benchmarks, including Nikkei 225 actual performance recorded over the time under consideration, by over 475%.

The common pattern between the forecasts’ performance for the above stock universe is that systematic filtering by both signal and predictability provides the most benefit for long term investments, hence are more suited for private and institutional investors whose primary goal is to systematically identify assets which will provide the most gains of its value going forward in time.

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I Know First Live Forecast Evaluation Report For Japanese Stock Market – Continuously Beating Nikkei 225 Index And Japan Stock Market Benchmarks

Executive Summary

In this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the Japanese stock market and sent to our customers on a daily basis.

Nikkei 225 universe highlights

  • Signal indicator filter applied to Top 30 most predictable stocks provides the highest return of 6.08% for Top 10 stocks on 3-months’ investment horizon
  • We observe clear increasing trend on returns improving with the increase of forecast time horizon – the change in returns from 1 month to 3 months is more than 350% for Top 10 stocks
  • Top 10 stocks significantly out-perform both benchmarks, including Nikkei 225 actual performance recorded over the time under consideration, by over 630%

Japan stock market universe highlights

  • Signal indicator filter applied to Top 30 most predictable stocks provides the highest return of 5.91% for Top 20 stocks on 3-months’ investment horizon
  • We observe clear increasing trend on returns improving with the increase of forecast time horizon – the change in returns from 1 month to 3 months is more than 320% for Top 20
  • Top 20 stocks significantly out-perform the benchmark by more than 340%

Read The Evaluation Report

I Know First Live Forecast Evaluation Report For Japanese Stock Market – Continuously Beating Nikkei 225 Index And Japan Stock Market Benchmarks

Executive Summary

In this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the Japanese stock market and sent to our customers on a daily basis.
We will start with an introduction to our stock picking and benchmarking methods and then apply it to the stock universe of the Nikkei 225 index as well as all of the stocks covered by us in the “Japan Stocks” Package.

Bayesian Inference and I Know First’s Application

 

 

This article was written by Kwon Sok Oh, a Financial Analyst at I Know First.

 

 

Summary

  1. Introduction of Bayesian Inference and BAC Example
  2. Prior Distribution: Concepts and BAC Example
  3. Likelihood Function: Concepts and BAC Example
  4. Posterior Distribution: Concepts and BAC Example
  5. Posterior Predictive Distribution: Concepts and BAC Example
  6. Conclusion of Discussion and BAC Example
  7. I Know First and Bayesian Neural Networks

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TRIP Stock Forecast: A Light of Dawn or a Flash in the Pan

 

The article was written by Amber Zhou, a Financial Analyst at I Know First.

TRIP Stock Forecast

"The travel category is indeed enormous and outpacing other consumer spending worldwide, and TripAdvisor not only inspires travel, but also causes more travel – in particular by encouraging travelers to take longer trips by showing them how much more there is to see and do." – Charlie Ballard, director of strategic insights, TripAdvisor

Highlights:

  • Solid start of 2018 – a cheerful bottom-out
  • Rapidly scaling non-hotel segment from supply acquisition initiatives
  • Concerns remain on the shrinking hotel segment
  • Current I Know First Algorithm bullish forecast for TRIP

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