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Forecasting KPI: Using ML and Big Data for Investment Decisions

Forecasting KPI: Using ML and Big Data for Investment Decisions

May 21, 2019 | Ai driven investment strategies, Alternative Data, forecasting, machine learning, Model Portfolios, Predictive Analytics,

Erez Katz, CEO and Co-founder For us at Lucena, applying machine learning to the financial markets has taken an interesting turn in recent years. In theory, fitting a model to historical time series data and forecasting a KPI should be similar to how…

Feature Engineering for Trading: Art or Science?

Feature Engineering for Trading: Art or Science?

February 12, 2019 | Ai driven investment strategies, data science, quantitative analysis, stock market,

Erez Katz, CEO and Co-founder Lucena Research How Feature Engineering Extracts Signals from Data for Trading Those of us who work with big data and the applications of deep learning are often conflicted where human intellect is applied. Utilizing feature…

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How to minimize overfitting in your quantitative investment research

How to minimize overfitting in your quantitative investment research

February 8, 2019 | Ai driven investment strategies, data science, quantitative analysis, Quantitative Investing,

Erez Katz, CEO and Co-founder Lucena Research How Cross-Validation and Grid Searching Strengthen Your Model  As new datasets enter the predictive analytics world, streamlining their evaluation and deployment is becoming increasingly essential. Combining multiple, independent datasets into a single predictive model…

How Dynamic Models Prolong An Investment Strategy

How Dynamic Models Prolong An Investment Strategy

January 29, 2019 | Ai driven investment strategies, Quantitative Investing,

Erez Katz, CEO and Co-founder Lucena Research The benefits of dynamic models and how they prolong your investment strategy in a volatile market. One of the biggest fallacies of quantitative strategy development is the belief that a successful model will…

Why You Should Be Using A Genetic Algorithm for Feature Selection

Why You Should Be Using A Genetic Algorithm for Feature Selection

January 18, 2019 | Ai driven investment strategies, machine learning, Quantitative Investing,

Why You Should Be Using a Genetic Algorithm (GA) for Feature Selection At Lucena, our goal is to democratize some of the best kept secrets in the Financial industry. Our team works to refute the “black-box” image often associated with…

How to Use Arbitrage Trading for Foreign Exchange Strategies

How to Use Arbitrage Trading for Foreign Exchange Strategies

January 14, 2019 | Ai driven investment strategies, data science, Event Analyzer, Model Portfolios,

Erez Katz, Lucena Research CEO and Co-founder Cointegration is an excellent time series analysis geared to identify a high conviction trade such as arbitrage trading strategies for foreign exchange. A Scientific Approach to Arbitrage Trading in Foreign Exchange   Cointegration…

Using Machine Learning to Convert Unstructured to Structured Data

Using Machine Learning to Convert Unstructured to Structured Data

January 10, 2019 | Ai driven investment strategies, Alternative Data, data science, machine learning, Predictive Analytics,

  One of the alternative data providers we have been working with in the past two years is Prattle Analytics. Prattle applies NLP to central banks’ communications in order to extract macro level sentiment scores. Find New Insights in Alternative Data Through…

How To Use RNNs and Time Series Data for Forecasting Stock Prices

How To Use RNNs and Time Series Data for Forecasting Stock Prices

January 9, 2019 | Ai driven investment strategies, machine learning, neural networks, quantitative analysis,

How to Use Time Series Data and RNNs To Forecast Stock Prices. It’s important to configure deep net infrastructure to accommodate time series data.

How to Qualify the Best Machine Learning Model for Investment Research

How to Qualify the Best Machine Learning Model for Investment Research

January 8, 2019 | Ai driven investment strategies, deep learning, machine learning, Quantitative Investing,

Erez Katz, CEO and Co-founder of Lucena Research Need to decide which of your trained models is the best? Here is how to qualify your model to maximize data’s potential before utilizing for investment and trading research.

A Scientific Approach To Multi-Strategy Investment

A Scientific Approach To Multi-Strategy Investment

January 7, 2019 | Ai driven investment strategies, Event Analyzer, Model Portfolios, Portfolio Optimization, quantdesk, Quantitative Investing,

Erez Katz, CEO and Co-founder of Lucena Research Scientifically construct a multi-strategy portfolio and algorithmically shift allocations to maximize your fund’s risk-adjusted return.

How Gold Can Hedge Against Inflation

How Gold Can Hedge Against Inflation

January 7, 2019 | Ai driven investment strategies, backtest, Hedger, investment strategies, quantdesk, Quantitative Investing,

Erez Katz, CEO and Co-founder of Lucena Research The price of gold has been traditionally perceived as inversely correlated to the price of the US dollar. For this reason, gold has been used as a hedge against inflation. Here is…

Applying Deep Reinforcement Learning to Trading

Applying Deep Reinforcement Learning to Trading

January 7, 2019 | Ai driven investment strategies, Alternative Data, deep learning, machine learning, neural networks, Predictive Analytics, Quantitative Investing, tucker balch, Webinar Videos,

Lucena Research Co-Founder Dr. Tucker Balch provides an introduction to machine learning, specifically applying deep reinforcement learning for stock trading.

Alpha: A Measure of Fund Management Skill

Alpha: A Measure of Fund Management Skill

January 7, 2019 | Ai driven investment strategies, Quantitative Investing, strategy,

Passive Investing Versus Active Portfolio Management, why it’s important and how to measure alpha effectively with Co-founder Dr. Tucker Balch.

How To Use Deep Neural Networks To Forecast Stock Prices

How To Use Deep Neural Networks To Forecast Stock Prices

January 6, 2019 | Ai driven investment strategies, deep learning, forecasting, neural networks, Predictive Analytics, stock market, stock prices, timeseries data,

Erez Katz, CEO and Co-founder of Lucena Research How To Use Deep Neural Networks To Forecast Stock Prices

How To Forecast Securities Using Neural Networks

How To Forecast Securities Using Neural Networks

January 5, 2019 | Ai driven investment strategies, Alternative Data, neural networks, Predictive Analytics, Quantitative Investing, Webinar Videos,

Forecast Stocks Using Neural Networks There’s been a lot of buzz surrounding machine learning to forecast stock prices using neural networks. In the webinar we will highlight a unique approach to identifying investment opportunities through the use of deep neural networks.…

The Benefits of a Multi-Strategy Investment Approach

The Benefits of a Multi-Strategy Investment Approach

January 5, 2019 | Ai driven investment strategies, Erez Katz, Event Analyzer, Model Portfolios, quantdesk, Quantitative Investing, tiebreaker,

Erez Katz, CEO and Co-founder of Lucena Research Why A Multi-Strategy Approach for Portfolio Optimization Here are two long-only strategies that have been performing well for us year to date despite recently volatility. Every Market Regime Presents Investment Opportunities Despite heightened…

How To Beat The Odds With A Short Only Investment Strategy

How To Beat The Odds With A Short Only Investment Strategy

January 5, 2019 | Ai driven investment strategies, long & short, machine learning, quantitative analysis, short investments, short only, strategy,

Erez Katz, CEO and Co-founder of Lucena Research  Risk vs. Reward in Short Investment Strategies A prominent portfolio manager once told me; “If you can come up with a method to reliably identify short investment opportunities, you will likely own…

How To Keep Your Financial Firm Competitive

How To Keep Your Financial Firm Competitive

January 5, 2019 | Ai driven investment strategies, machine learning, quantitative analysis, Quantitative Investing, strategy,

Erez Katz, CEO and Co-founder Lucena Research How machine learning fills the gap between AI fact and fiction. In 2017 Larry Fink, CEO of BlackRock, made a bold statement that rattled the Financial industry. More and more firms are turning…

Protect Your Deep Value Fundamental Portfolio

Protect Your Deep Value Fundamental Portfolio

January 5, 2019 | Ai driven investment strategies, investment strategy, Quantitative Investing, strategy,

Erez Katz, CEO and Co-founder Lucena Research How Machine Learning Can Protect Your Deep Value Fundamental Portfolio At Lucena, we’ve witnessed a growing interest in quantitative analysis technology. One question we usually receive from  portfolio analysts is how can machine…

How to Measure Your Investment Portfolio Performance and Optimize

How to Measure Your Investment Portfolio Performance and Optimize

January 5, 2019 | Ai driven investment strategies, Company Blog, data science, Portfolio Optimization, Quantitative Investing,

Measuring and optimizing your portfolio’s performance depends on three key factors.  Sharpe ratio measures a portfolio’s risk adjusted return and is typically used by investors to measure portfolio performance and determine strength. The goal of Sharpe ratio is to assess…

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