arXiv subjects

Jennifer Chan

Publications and source records attributed to Jennifer Chan.

5 recordsLinked to original sources

arXiv2020

Time-varying neural network for stock return prediction

We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems encountered in financial markets are often time-varying. We propose the online early stopping algorithm and show that a neural network trained using this algorithm can track a function changing with unknown dynamics. We compare the proposed algorithm to current approaches on predicting monthly U.S. stock returns and show its superiority. We also show that prominent factors (such as the size and momentum effects) and industry indicators, exhibit time varying stock return predictiveness. We find that during market distress, industry indicators experience an increase in importance at the expense of firm level features. This indicates that industries play a role in explaining stock returns during periods of heightened risk.

q-fin.CP↗

arXiv2020

Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a new mathematical quantity. First, we apply recently introduced semi-metrics between finite sets to determine the distance between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use this distance between asset structural breaks for our penalty function, rather than portfolio variance. Our experiments are promising: on synthetic data, we show that our proposed method does indeed diversify among time series with highly similar structural breaks and enjoys advantages over existing metrics between sets. On real data, experiments illustrate that our proposed optimization method performs well relative to nine other commonly used options, producing the second-highest returns, the lowest volatility, and second-lowest drawdown. The main implication for this method in portfolio management is reducing simultaneous asset shocks and potentially sharp associated drawdowns during periods of highly similar structural breaks, such as a market crisis. Our method adds to a considerable literature of portfolio optimization techniques in econometrics and could complement these via portfolio averaging.

q-fin.PM↗

arXiv2019

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study of distribution extremities, and erratic behaviour through structural breaks. First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance. Second, we compare and contrast these two behaviours, and identify individual anomalous cryptocurrencies. Tether (USDT) and TrueUSD (TUSD) are consistent outliers with respect to their returns, while Holo (HOT), NEXO (NEXO), Maker (MKR) and NEM (XEM) are frequently observed as anomalous with respect to both behaviours and time. Even among a market known as consistently volatile, this identifies individual cryptocurrencies that behave most irregularly in their extreme and erratic behaviour and shows these were more affected during the COVID-19 market crisis.

q-fin.MF↗

arXiv2019

Novel semi-metrics for multivariate change point analysis and anomaly detection

This paper proposes a new method for determining similarity and anomalies between time series, most practically effective in large collections of (likely related) time series, by measuring distances between structural breaks within such a collection. We introduce a class of \emph{semi-metric} distance measures, which we term \emph{MJ distances}. These semi-metrics provide an advantage over existing options such as the Hausdorff and Wasserstein metrics. We prove they have desirable properties, including better sensitivity to outliers, while experiments on simulated data demonstrate that they uncover similarity within collections of time series more effectively. Semi-metrics carry a potential disadvantage: without the triangle inequality, they may not satisfy a "transitivity property of closeness." We analyse this failure with proof and introduce an computational method to investigate, in which we demonstrate that our semi-metrics violate transitivity infrequently and mildly. Finally, we apply our methods to cryptocurrency and measles data, introducing a judicious application of eigenvalue analysis.

cs.LG↗

arXiv2018

AI for Trustworthiness! Credible User Identification on Social Web for Disaster Response Agencies

Although social media provides a vibrant platform to discuss real-world events, the quantity of information generated can overwhelm decision making based on that information. By better understanding who is participating in information sharing, we can more effectively filter information as the event unfolds. Fine-grained understanding of credible sources can even help develop a trusted network of users for specific events or situations. Given the culture of relying on trusted actors for work practices in the humanitarian and disaster response domain, we propose to identify potential credible users as organizational and organizational-affiliated user accounts on social media in realtime for effective information collection and dissemination. Therefore, we examine social media using AI and Machine Learning methods during three types of humanitarian or disaster events and identify key actors responding to social media conversations as organization (business, group, or institution), organization-affiliated (individual with an organizational affiliation), and non-affiliated (individual without organizational affiliation) identities. We propose a credible user classification approach using a diverse set of social, activity, and descriptive representation features extracted from user profile metadata. Our extensive experiments showed a contrasting participation behavior of the user identities by their content practices, such as the use of higher authoritative content sharing by organization and organization-affiliated users. This study provides a direction for designing realtime credible content analytics systems for humanitarian and disaster response agencies.

cs.SI↗