Collective analysis of symbols for balancing of portfolio
Portfolio optimizer
- Summary view of all symbols in portfolio
- Forecasted price and change per symbol
- Expert advise on trade execution
- Distinctive coloring of signals
Portfolio affinity matrix
- Powerful tool for portfolio optimization
- Exclude closely correlated symbols
- Correlated symbols similarly behave on market changes
- It decreases stability of portfolio
- Keep portfolio of less correlated symbols
- Increase probability of some symbols growing while others downtrend
Multiple affinity measures
- Correlation radius
- Kendall rank correlation
- Normal absolute difference
- Kruskal-Wallis test
- Friedman test
- Hurst coefficient
- H parameter
- Correlation
- Asymmetry
- Excess
Lag relation analysis
- Discovery of symbol dependencies
- Calculates cross correlation of selected symbol with other symbols in portfolio over a range of time lags
- If strong correlation exists, then correlated symbol can serve as a predictor in multiple regression model
- Multiple classical and nonparametric proximity measures