The article covers a brief piece of proprietary research exploring a relatively new machine learning approach to enhance portfolio optimisation problems: the TIC (Theory-Implied Correlation) matrix approach. This new approach allows to factor qualitative information into the portfolio...

Turnaround investing is the process of looking for investment opportunities in down-and-out companies that are poised to experience a financial recovery. Investors willing to invest in these stocks could fall victim of two main risks: cost of opportunity and downside risk. The current analysis...

The authors provide a comprehensive picture of the importance of Natural Language Processing (NLP) and its significant potential to enhance investment strategies, with particular focus on comparing classifiers using conference call transcripts with multiple NLP approaches such as...

This project is based on developing a straightforward application to apply a simple mean-reversion strategy tailored to Energy stocks (XOM, COP, CVX) and two ETFs (XLE and SPY). Firstly, a VAR model is built using security price returns as first step before conducting IRF (Impulse Response...

This paper examines the application of different single-style and multi-style equity strategies in European markets taking during the period 1994-2004. Results from previous research papers, which were mainly focus on the US and the UK Markets, provide evidence that several fundamental ratios...