AI Forecast: Efficient Forecasting Segments of the Financial Market by AI

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

Summary:

  • Utilizing a Machine Learning approach to analyze financial data, enabling the identification of patterns at a level inaccessible to humans.
  • All financial assets, to varying degrees (with the exception of VIX, the volatility index), exhibit long-term patterns, allowing for the application of machine learning methods.
  • Corporate 5-10 years bonds and crude oil are potentially the most predictable financial market segments.

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Entropy Test: Identifying the Dimension Where Deterministic Chaos is alive in Financial Markets

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

Summary:

  • The approximate entropy test enables us to identify when deterministic chaotic patterns start in financial assets.
  • There are non-linear dependence patterns in the 3-day interval for the S&P500, precious metal ETFs, volatility ETFs, debt market ETFs, real-estate ETF, US dollar ETF, and cryptocurrencies.
  • We could not reject the hypothesis of linear dependence for the platinum ETF.
  • The I Know First AI algorithm allows for identifying non-linear dependencies in financial assets to find the most promising investment opportunities.

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Minimum Turbulence Portfolio

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

Summary:

  • Economic shocks cause systemic structural changes in financial markets which are expressed in changes in connection between financial assets.
  • Mahalanobis Distance enables us to estimate stock market turbulence.
  • I Know First can help to find the most appropriate assets according to the current macroeconomic environment and systemic structural changes in financial markets.

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Hedge and Safe Haven Financial Assets

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

Summary:

  • Gold, short-term treasury bills, long-term treasury bonds, the spread between the long-term treasury and corporate bonds, 5-month volatility, and 1-month volatility are uncorrelated or negatively correlated with the S&P500 making them good candidates for a role of a hedge asset.
  • 5-month and 1-month volatility as exchange trade products, and also the short-term government bills and long-term government bonds able to play a role of a safe haven asset.
  • Correlation analysis of the S&P500 and TNX shows that the correlation structure is not consistent from data frame to data frame.

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Interest Rate Predictions Based On Big Data: Up To 8.94% Returns in 14 days

Time Horizon: 14 days (9/15/15 – 9/29/15)
I Know First Average: 0.64% (Long) & 3.67% (Short)

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Interest Rate Predictions Based On Big Data