Sparse portfolio optimization

Construction of optimal portfolios is one of the concerns for financial institutions, public funds and individual investors. Generally, in portfolio optimization problem we consider at least two conflicting objective functions – minimizing portfolio risk and maximizing portfolio reward. Additionally, each investor or fund manager has their own preferences, therefore we typically add the set of constraints.

Financial Modeling based on Sentiment Analysis and Natural Language Processing

Financial variables modelling plays an essential role in computational finance and risk management. Recent research has shown that public sentiment and other information expressed in the natural text such as news articles are important factors correlated with financial variables. The main purpose of this project is to better model financial variables such as market indices and credit spreads.

Intelligent Character Recognition (ICR), Optical Character Recognition (OCR) and machine learning based corrections of data transcription from scanned business documents

SS&C processes more than 80% of financial scanned and faxed documents in the US and requires large amount of manual labor in order to map information from a document into another form. Advances in neural networks applied to computer vision have produced text detection and recognition that nears human performance.