The Fifth Elephant 2018

Deep Learning is a good concept and it is slowly transforming the face of data analysis. The world of finance has not been impervious to its reach. Although finance has its own models which have in place for decades ( Black Sholes, CAPM ) new methodologies are coming up to leverage the power of AI

For the past few decades Portfolio building has been guided by analytical methodologies. There have been several methodologies like CAPM, Apt, Factor Data etc. However, very recently there have been some papers which leverage Deep Learning for portfolio building. Through this Full Talk I will be presenting a deep learning application in the field of portfolio composition

Outline

There are many hidden factors that relate the universe of financial products which cannot be unearthed using APT. However, using Deep Neural Networks, we can hunt for the latent linkages between the financial products and use that for building your portfolio
The process can be divided into the following 3 tasks

1. Auto Encoding
   This step will be used for creating a condensed map of the entire universe of financial products

2. Calibrating
   This allows us to choose a particular target ( benchmark or a manual set of returns ) that we have in mind that we would like to create a portfolio for

3. Validation and Verification
   This allows us to choose the appropriate condensed map of the universe of produces which will give the best calibration

There is a paper that talks about the potential applications of Deep

As part of the talk, I will be choosing the following examples

1. Benchmark the NIFTY Index
2. Benchmark a list of user defined returns

During the course of the talk, I will be using the following technologies and data

1. Python : Tensorflow, numpy
2. Jupyter : For coding/visualization
3. Datasets : Open Financial data from Quandl/Kaggle etc

Requirements

An interest in Finance and Statistics. If you are always looking out for new ways of investment then this will definitely be worthwhile

I will be doing the coding in Python

Speaker bio

Anant is part of Morgan Stanley for the past 7 years. He did his B.Tech ( Electrical ) from BITS Pilani

Slides

https://drive.google.com/open?id=1zvlEF1Tofox7UQAHN4tG2s55I84T5Hh_