Quantitative Investing

Is Your Data Predictive? How to Measure Before Risking Capital

Erez Katz, CEO and Co-founder of Lucena Research.   At Lucena, our mission is to bridge the gap between validated data and data-driven professionals. Portfolio managers seek reliable ways to efficiently assess and deploy alternative data for investment decision...
Evaluating your portfolio

Is Your Portfolio Statistically Significant?

    Erez Katz, CEO and Co-founder of Lucena Research. Investors often look at Sharpe ratio to determine a portfolio’s strength. (Sharpe ratio measures a portfolio’s risk adjusted return.) The goal of Sharpe ratio is to assess a portfolio’s returns discounted against...
reinforcement learning for trading

Applying Deep Reinforcement Learning to Trading

An Introduction to Applying Deep Reinforcement Learning to Trading   Deep Reinforcement Learning (DRL) is a combination of two important methods: Deep Learning and Reinforcement Learning that when integrated appropriately provide a powerful approach to learning...
timeseries data RNN forecast stocks

How To Use Time Series Data with RNNs to Forecast Stock Prices

  Erez Katz, CEO and Co-founder of Lucena Research. Through our research at Lucena, we know it’s important to configure deep net infrastructure to accommodate time series data as a trend formation vs. a single point-in-time. There is a vast difference in how we as...
convolutional neural networks

How To Forecast Securities Using Neural Networks

Erez Katz, CEO and Co-founder of Lucena Research At Lucena we look to turn knowledge into actionable insights. There has been a lot of buzz surrounding machine learning for Finance to forecast securities. We wanted to host a webinar to show a unique approach we are...
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