USRP_report - HackMD

USRP Group 6 Report === **Mentors:** A. Christian Silva, Shen-Ning Tung --- ## Quantitative Trading via Convex Optimization **Members:** Tzu-Ling Hsieh, Guan Ting Lu, Tai-Jun Lai ### Abstract This project explores quantitative trading strategies leveraging convex optimization techniques. It delves into the classic Markowitz portfolio optimization model, complemented by empirical experiments. The study extends to stratified portfolio construction and implementation approaches. Additionally, it investigates pair trading strategies and employs convex optimization for statistical arbitrage in both fixed and moving-band scenarios. Finally, it applies Markowitz principles to managing a dynamic basket of mortgage-backed securities. The research bridges theoretical financial models with practical quantitative trading strategies, offering potential enhancements in risk management and portfolio performance. ### Contents * [Markowitz Portfolio](/t2KY4r73R8G1CVrZMaap3Q) * [Markowitz Experiments](/yeiJVO_6TOCvtu4f6nxFdA) * [Stratified Models for Portfolio Construction](/eHw7qs7zTaKFRI14FSz_ug) (by Tzu-Ling Hsieh) * [Stratified Portfolio Implementation](/GtafyzfGRquAXMetEsEcOw) (by Tzu-Ling Hsieh) * [Pair Trading](/heDfncvHQqK3bep6SC6drA) (by Guan-Ting Lu) * [Fixed/Moving-band Statistical Arbitrage via Convex Optimization](/KT9eRWAlTOaXN6hOrRlIXg) (by Guan-Ting Lu) * [Markowitz Approach to Managing a Dynamic Basket of MBSAs](/sH0lf85pQ--8xtDMAiSIzQ) (by Guan-Ting Lu) * [Identifying Patterns in Financial Markets with Regime-Switching Models](/o9kZmP7rTdSz7QwWCYCwLA) * [Two-State Market Regime Detection and 0/1 Trading Strategy](/0gx279xqQdWpW5FZ5VA3og) (by Tzu-Ling Hsieh) --- ## Sequential Decision Analytics and Modeling **Members:** Mu-Chian Lin ### Abstract This project delves into sequential decision analytics, an approach to problems where decisions lead to new information, which then informs further decisions. We adopt a "model first, then solve" strategy, showcasing the versatility of sequential decision analytics across diverse scenarios such as asset selling, inventory management, and path planning. For each problem, we develop mathematical models encapsulating the problem's core elements and uncertainties. We then proceed to design, implement, and assess effective solution policies. ### Contents * [An Asset Selling Problem](/E4y-a8c3TjSlbTZRUO24Mg) (by Yi-Hua Chuang) * [Stochastic Shortest Path Problem](/8sUmqjqsQ3yST4sujK9jdQ) (by Mu-Chian Lin)