Big Data and AI Approach to Investment Management.pdf

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1、May2017BigDataandAIStrategiesMachineLearningandAlternativeDataApproachtoInvestingQuantitativeandDerivativesStrategyACMarkoKolanovic,PhDmarko.kolanovic@jpmorgan.comRajeshT.Krishnamachari,PhDrajesh.tk@jpmorgan.comSeepage278foranalystcertificationandimportantdisclosures,includingnon-USanalystdiscl

2、osures.Completed18May201704:15PMEDTDisseminated18May201704:15PMEDTThisdocumentisbeingprovidedfortheexclusiveuseofLOGANSCOTTatJPMorganChase&Co.andclientsofJ.P.Morgan.{[{VYQKX*]MY^^*VYQKX8W8]MY^^JTZWYQKX8MYW*;C9:?9<:;A}]}MarkoKolanovic,PhDGlobalQuantitative&DerivativesStrategy(1-212)272-143818Ma

3、y2017marko.kolanovic@jpmorgan.comAdditionalContributorstotheReportRahulDalmiarahul.dalmia@jpmorgan.comAdaLauada.lau@jpmorgan.comBramKaplanbram.kaplan@jpmorgan.comRobertSmithrobert.z.smith@jpmorgan.comBerowneHlavatyberowne.d.hlavaty@jpmorgan.comPengChengpeng.cheng@jpmorgan.comMatthiasBouquetmatt

4、hias.bouquet@jpmorgan.comHarshitGuptaharshit.gupta@jpmorgan.comAyubHanifAyub.Hanif@jpmorgan.com2ThisdocumentisbeingprovidedfortheexclusiveuseofLOGANSCOTTatJPMorganChase&Co.andclientsofJ.P.Morgan.{[{VYQKX*]MY^^*VYQKX8W8]MY^^JTZWYQKX8MYW*;C9:?9<:;A}]}MarkoKolanovic,PhDGlobalQuantitative&Derivati

5、vesStrategy(1-212)272-143818May2017marko.kolanovic@jpmorgan.comMay,2017DearInvestor,Overthepastfewyears,wehavewitnessedprofoundchangesinthemarketplacewithparticipantsincreasinglyadoptingquantitativeinvestingtechniques.TheseincludeRiskPremiainvesting,algorithmictrading,mergingoffundamentalandqua

6、ntitativeinvestmentstyles,consumptionofincreasingamountsanddifferentiatedtypesofdata,andadoptionofnewmethodsofanalysissuchasthosebasedonMachineLearningandArtificialIntelligence.Infact,overthepastyear,theexponentialincreaseoftheamountandtypesofdataavailabletoinvestorspromptedsometocompletelychan

7、getheirbusinessstrategyandadopta‘BigData’investmentframework.OtherinvestorsmaybeunsureonhowtoassesstherelevanceofBigDataandMachineLearning,howmuchtoinvestinit,andmanyarestillparalyzedinthefaceofwhatisalsocalledthe‘FourthIndustrial