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Analysis Commons

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Statistics and Probability

Southern Methodist University

Data Science

Publication Year

Articles 1 - 2 of 2

Full-Text Articles in Analysis

Bridging The Chasm Between Fundamental, Momentum, And Quantitative Investing, Allen Hoskins, Jeff Reed, Robert Slater Apr 2023

Bridging The Chasm Between Fundamental, Momentum, And Quantitative Investing, Allen Hoskins, Jeff Reed, Robert Slater

SMU Data Science Review

A chasm exists between the active public equity investment management industry's fundamental, momentum, and quantitative styles. In this study, the researchers explore ways to bridge this gap by leveraging domain knowledge, fundamental analysis, momentum, crowdsourcing, and data science methods. This research also seeks to test the developed tools and strategies during the volatile time period of 2020 and 2021.


Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater Jan 2019

Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater

SMU Data Science Review

The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …