Over the past week (since the election), the markets have been very active. The IWM (or the Russell 2000) has gone from negative territory to being up ~ 10% over the past 12 months. It has been a big run-up.
An interesting backdrop for our analysis of skewness, kurtosis and other higher moments of stock prices for better understanding options on US Common Stocks.
We keep finding things in the code. Today, I found an issue with how we take the covariance of the stocks based on the log returns. The first row (or daily log change value) is wrong and could have artificially inflated variance of all stocks (at least it was by the same amount).
We are also working on adjusting formulations again. Always more to do...
BTW, our portfolio picks over the past few weeks to a month seem to be significantly outperforming the market. We are out of these stocks, so are currently unbiased observers :-)
Your founder, Jeffrey Cohen.
Nov 9, 2020
On October 31, 2020 we sent our article pre-print to arXiv and on November 4, 2020 it was published and released. We are proud of this work. It represents the maximum scale for the efficient stock portfolio that we deem reasonable.
We optimize a portfolio of every US Common Stock that passes validation. We test drive the new D-Wave Systems Advantage (TM) system and can successfully embed and analyze a 134 stock portfolio on a quantum computer. We also build our own simulated bifurcator from the original technical white paper. BTW, that paper had errors and omissions that we worked around.
So, what comes next? Kurtosis and Skewness and higher moments of stock prices. We started with a simple video, and are now coding and testing the logic.
Net-Net, this gets us into options pricing.
I read that US General George Patton used to say "No guts, no glory." What would we be if we did not have our model select a stock portfolio just before the election, using weekend data, and posting before market open.
We pick 135 stocks, and 68 stocks. There are no small portfolios this week. In the article, we explain potentially why this could be (e.g., declining markets, flight to safety of diversification).
Good luck and stay safe this week
Thank you for the chance to present our work. Here are the slides we presented.
Will share the recording link once we have access to it.
Strategic IT Management Consultant with a strong interest in Quantum Computing. Consulting for 29 years and this looks as interesting as cloud computing was in 2010.