Insights

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...

How to Avoid Missing the Obvious in Deep Learning

Erez Katz, CEO and Co-founder of Lucena Research At Lucena, we always try to understand the root cause of unexpected results and pull actionable insights from the data. Sometimes it’s easy to blame the machine when actually it did exactly what it was tasked to...

Using Deep Learning To Validate Alternative Data

QuantDesk® Machine Learning Forecast for the Week of May 29th, 2018 Using Deep Learning To Validate Alternative Data by Erez Katz, CEO and Co-founder of Lucena Research. Background We’ve concluded a three-part series in which we discussed approaches to classifying...