ABSTRACT

Investments in financial markets comprise fundamental and challenging tasks in both financial academia and industry. For example, mutual funds invest the raised capital among a collection of investment opportunities so as to create value for the fund investors; insurance companies invest the premiums among the financial market so as to satisfy the insurance claims in future. Typically, investors analyze and explore investment opportunities via fundamental and technical analyses using various instruments and tools, often done in manual ways. To meet the rapid development of investment opportunities (cf., three challenges in Section 1.1), quantitative analysis has been emerging as a new way for investment analysis and automated trading.