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[02091] Stock Data has Shape: Managing Stock Portfolio via Topology-informed Machine Learning

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E803
  • Type : Contributed Talk
  • Abstract : Given time-series data of a stocks portfolio, we generate sequences of point-cloud embeddings and use topology-based features to train a classifier on a binary classification task: determine whether or not a stock performs well on day-to-day trading. Using the trained classifier, we predict which stocks in our portfolio are projected to earn on a future trading day. We evaluate our topology-informed classifier via standard metrics and projected cumulative earnings based on a tier-structured investment scheme.
  • Classification : 68Txx, 68Uxx, Machine Learning
  • Format : Talk at Waseda University
  • Author(s) :
    • Paul Samuel Ignacio (University of the Philippines Baguio)