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Oliver Steinki Benedicte Gravrand, Opalesque Geneva for New Managers:
Oliver Steinki, founder of EVOLUTIQ, a new CTA based near Zurich, analyzed ensemble methods when he did his PhD in Financial Mathematics in Manchester. His strategy is based on the combination of ensemble methods with Lévy process models.
The idea behind the strategy
"Ensemble methods tell you how you can combine a lot of different models in a smart way into one, so that you increase or improve the overall prediction accuracy," he explains. "What you can show mathematically is, if you have, say, 10 models which are better than 50% - or better than just tossing a coin - and they have un-correlated errors; by combining them and getting their majority vote, you can increase the overall prediction accuracy to 54%-55%."
In his academic research, he analyzed the applicability of these ensemble methods to option pricing models, based on the Lévy processes - named after French mathematician Paul Lévy - which are more flexible than the normal distribution.
"In finance, if you look at classical theory such as Markowitz, ...................... To view our full article Click here
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