AI case study: Long/Short strategy

In today's post we will be using AI to improve a module of the Alternative Data-Driven Investment (ADDI) strategy developed by ETS Asset Management Factory, which is an automatic Long - Short investment strategy that aims to obtain stable performance de-correlated from the market and with a limited drawdown risk.

This comes after our recent posts, where we have been looking into key aspects of neural networks, their applications, and various case studies demonstrating their relevance in the field of finance (see for example 1, 2 or 3). So, continuing with our research, we will employ a deep neural network to enhance our ability to assess the risk associated with our investment strategies.

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Javier Cárdenas