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The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms all relying, primary, on aspects of time-series analysis. Recently, after visiting the trading floor of a leading financial institution, we noticed that traders always execute their trade orders while observing images of financial time-series on their screens. In this work, we built upon the success in image recognition and examine the value in transforming the traditional time-series analysis to that of image classification. We create a large sample of financial time-series images encoded as candlestick (Box and Whisker) charts and label the samples following three algebraically-defined binary trade strategies. Using the images, we train over a dozen machine-learning classification models and find that the algorithms are very efficient in recovering the complicated, multiscale label-generating rules when the data is represented visually. We suggest that the transformation of continuous numeric time-series classification problem to a vision problem is useful for recovering signals typical of technical analysis.
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Systematic financial trading strategies account for over 80% of trade volume in equities and a large chunk of the foreign exchange market. In spite of the availability of data from multiple markets, current approaches in trading rely mainly on learning trading strategies per individual market. In this paper, we take a step towards developing fully end-to-end global trading strategies that leverage systematic trends to produce superior market-specific trading strategies. We introduce QuantNet: an architecture that learns market-agnostic trends and use these to learn superior market-specific trading strategies. Each market-specific model is composed of an encoder-decoder pair. The encoder transforms market-specific data into an abstract latent representation that is processed by a global model shared by all markets, while the decoder learns a market-specific trading strategy based on both local and global information from the market-specific encoder and the global model. QuantNet uses recent advances in transfer and meta-learning, where market-specific parameters are free to specialize on the problem at hand, whilst market-agnostic parameters are driven to capture signals from all markets. By integrating over idiosyncratic market data we can learn general transferable dynamics, avoiding the problem of overfitting to produce strategies with superior returns. We evaluate QuantNet on historical data across 3103 assets in 58 global equity markets. Against the top performing baseline, QuantNet yielded 51% higher Sharpe and 69% Calmar ratios. In addition we show the benefits of our approach over the non-transfer learning variant, with improvements of 15% and 41% in Sharpe and Calmar ratios. Code available in appendix.
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional constraint variable, whose evolution is driven by the point process. We study this process in the special case where the fertility function is exponential so that the process is entirely described by an underlying Markov chain, which includes the constraint variable. Some conditions on the parameters are established to ensure the ergodicity of the chain. Moreover, scaling limits are derived for the integrated point process. This study is primarily motivated by the stochastic modelling of a limit order book for high frequency financial data analysis.
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose a measure of the relative value of a delta-Symmetric Strangle and compute it under the standard Black-Scholes option pricing model. This new measure accounts for the price of the strangle, relative to the Present Value of the spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter. We show that under the standard BS option pricing model, this measure of relative value is bounded by a simple function of delta only and is independent of the time to expiry, the price of the underlying security or the prevailing volatility used in the pricing model. We demonstrate how this bound can be used as a quick {it benchmark} to assess, regardless the market volatility, the duration of the contract or the price of the underlying security, the market (relative) value of the $delta-$strangle in comparison to its BS (relative) price. In fact, the explicit and simple expression for this measure and bound allows us to also study in detail the strangles exit strategy and the corresponding {it optimal} choice for a value of delta.
Yelp has been one of the most popular local service search engine in US since 2004. It is powered by crowd-sourced text reviews and photo reviews. Restaurant customers and business owners upload photo images to Yelp, including reviewing or advertising either food, drinks, or inside and outside decorations. It is obviously not so effective that labels for food photos rely on human editors, which is an issue should be addressed by innovative machine learning approaches. In this paper, we present a simple but effective approach which can identify up to ten kinds of food via raw photos from the challenge dataset. We use 1) image pre-processing techniques, including filtering and image augmentation, 2) feature extraction via convolutional neural networks (CNN), and 3) three ways of classification algorithms. Then, we illustrate the classification accuracy by tuning parameters for augmentations, CNN, and classification. Our experimental results show this simple but effective approach to identify up to 10 food types from images.
Fine-grained image classification is a challenging task due to the large intra-class variance and small inter-class variance, aiming at recognizing hundreds of sub-categories belonging to the same basic-level category. Most existing fine-grained image classification methods generally learn part detection models to obtain the semantic parts for better classification accuracy. Despite achieving promising results, these methods mainly have two limitations: (1) not all the parts which obtained through the part detection models are beneficial and indispensable for classification, and (2) fine-grained image classification requires more detailed visual descriptions which could not be provided by the part locations or attribute annotations. For addressing the above two limitations, this paper proposes the two-stream model combining vision and language (CVL) for learning latent semantic representations. The vision stream learns deep representations from the original visual information via deep convolutional neural network. The language stream utilizes the natural language descriptions which could point out the discriminative parts or characteristics for each image, and provides a flexible and compact way of encoding the salient visual aspects for distinguishing sub-categories. Since the two streams are complementary, combining the two streams can further achieves better classification accuracy. Comparing with 12 state-of-the-art methods on the widely used CUB-200-2011 dataset for fine-grained image classification, the experimental results demonstrate our CVL approach achieves the best performance.
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