A framework for online investment algorithms A.B. Paskaramoorthy T.L. van Zyl T.J. Gebbie Computer Science and Applied Maths Wits Institute of Data Science Department of Statistical Science University of Witwatersrand University of Witwatersrand University of Cape Town Johannesburg, South Africa Johannesburg, South Africa Cape Town, South Africa
[email protected] [email protected] [email protected] Abstract—The artificial segmentation of an investment man- the intermediation of human operators. As a result, workflows, agement process into a workflow with silos of offline human at least in finance, lack sufficient adaption since the update operators can restrict silos from collectively and adaptively rates are usually orders of magnitude slower that the informa- pursuing a unified optimal investment goal. To meet the investor objectives, an online algorithm can provide an explicit incremen- tion flow in actual markets. tal approach that makes sequential updates as data arrives at the process level. This is in stark contrast to offline (or batch) Additionally, the compartmentalisation of the components processes that are focused on making component level decisions making up the asset management workflow poses a vari- prior to process level integration. Here we present and report ety of behavioural challenges for system validation and risk results for an integrated, and online framework for algorithmic management. Human operators can be, both unintentionally portfolio management. This article provides a workflow that can in-turn be embedded into a process-level learning framework. and intentionally, incentivised to pursue outcomes that are The workflow can be enhanced to refine signal generation and adverse to the overall achievement of investment goals.