Artificial Intelligence for Financial Markets

1. Introduction.- 2. Polymodel Theory: An Overview.- 3. Estimation Method: the Linear Non-Linear Mixed Model.- 4. Predictions of Market Returns.- 5. Predictions of Industry Returns.- 6. Predictions of Specific Returns.- 7. Genetic Algorithm-Based Combination of Predictions.- 8. Conclusions.- 9. Appendix.

Thomas Barrau is a Senior Quantitative Researcher working in the hedge fund AXAInvestment Managers Chorus Ltd. He is working on the development of an Equity MarketNeutral portfolio, from the creation of quantitative trading strategies to the portfolioconstruction. Prior to this, he worked at Societe Generale as banker and financial advisorto small businesses, and as CFO in an aerospace company. He holds a PhD in AppliedMathematics from Paris 1 Pantheon-Sorbonne University. Previously, he validated withhonors three different Masters of Science from Aix-Marseille School of Economics,Ca'Foscari University of Venice and Poitiers IAE.



Raphael Douady is a French mathematician and economist specializing in data science, financial mathematics and chaos theory at the University of Paris I-Panthéon-Sorbonne. He formerly held the Frey Chair of quantitative finance at Stony Brook University and was academic director of the French Laboratory of Excellence on Financial Regulation. He earned his PhD in Hamiltonian dynamics and has more than 25 years of experience in the financial industry. He has particular interest in researching portfolio risks, for which he has developed especially suited powerful nonlinear statistical and data science models, as well as macroeconomics and systemic risk. He founded fin tech firms Riskdata (risk management for the buyside) and Datacore (quantitative portfolio of ETFs) and is Chief Science Officer of NM Fin tech (numerical methods for fixed income trading in China).