Abstract In the classic portfolio management theory by Markowitz (1952), the weights of the optimized portfolios are directly proportional to the inverse of the asset correlation matrix. However, most of contemporary portfolio optimization research focuses on optimizing the correlation matrix itself, and not its inverse. We show that this is a mistake. Specifically, from the Big Data perspective, we prove that the inverse of the correlation matrix is much more unstable and sensitive to random perturbations than the correlation matrix itself. As such, optimization of the inverse of the correlation matrix adds more value to optimal portfolio selection than that of the correlation matrix. WeRead More →

In the next five years, big data analysis is poised to become one of the most important and competitive skill sets around. Portfolio analysis in particular is where pension funds are focusing their big data investments. Big data is a set of techniques embedded in the latest, most sophisticated technologies: social media analytics, digital video recognition, 5G cellular technology and much more. The capabilities of big data are incredibly powerful and extend far beyond traditional systems. Supported as a spying technology in the World War II and later, the Cold War, core big data techniques were developed in the 1940s, 1960s and 1980s and areRead More →

By Irene Aldridge The history of Finance is full of Mathematical and technological revolutions. With the expansion of computer technology, mathematical innovations are not only abstractly interesting, but also very fast and profitable. Most recently, mathematical innovations in Finance first generated opportunities in quant techniques that were followed by the revolution of high-frequency trading, Now, the opportunity expands as Big Data techniques are implemented within Finance. Many people are still puzzled by what is so special about Big Data. After all, Econometrics and other data processing tools have been used in Finance for decades. It is true that Econometrics comprises a part of Big DataRead More →

Irene Aldridge’s latest paper on Big Data optimization in portfolio management is the first to show that spectral decomposition of an inverse of the correlation matrix delivers 400% improvement over the equally-weighted and other common portfolio optimization schemes. Read more here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3142880Read More →

By Irene Aldridge Figure 1. A question for you: if you have 9 dots lined up in a 3×3 grid (Figure 1), how do you connect them all with just four segments without lifting your pen? This is an example of an out-of-the-box problem which kids love and which expands their sense of spatial coordinates and problem solving not usually taught at school. The Math & Science curriculum in early childhood education is focussed on understanding numbers — a great feat and a standard-meeting requirement. While mastering basic arithmetic is necessary, what makes you more interested in learning math & science: 1) reciting arithmetic orRead More →

CFEM Practitioner Lecturer Spotlight|Irene Aldridge Monday, October 23, 2017 Whitney Johnson: Forty Over 40 Practitioner Spotlight! CFEM Practitioner Lecturer, Irene Aldridge (AbleMarkets), currently teaches ORIE 5255 and has been listed on Forbes’ Whitney Johnson 2017 Honorees: 40 Women to Watch Over 40. In addition to being President and Managing Director of Research at AbleMarkets, Irene is a quantitative Big Data researcher and author of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies” and “Trading Systems and Real-Time Risk: What Investors Should Know About Fintech, High-Frequency Trading, and Flash Crashes”.  Follow her whole story in the “Forty Over 40” article here.Read More →

By Irene Aldridge As parents, we always want the best for our children. Without a second thought, we invest in the best music and sports classes that we can afford to stimulate their brains and muscles. We arrange outings and playdates in order to provide our children with a diversity of experiences and friendships. By doing these things, we hope not only to help them now, but also to equip them with the skills they will need 10 or 20 years down the road. We can say, with reasonable accuracy, that the hottest, most necessary skill that will be in demand in the coming yearsRead More →