Retail Investor Risk Classification - Vietnam
2019 - 2021
The project involves designing a predictive classification model to differentiate between A-book investors, who pose higher risks to brokers, and B-book investors, who pose lower risks. The brokerage will transfer positions from A-book investors to market makers, who cover A-book risks, while taking the risk from B-book investors positions for profit enhancement. The methodology incorporates machine learning techniques and technical indicators to analyze retail investor behaviors. Additionally, the project includes simulating and improving profit loss metrics by 60% over benchmark levels, optimizing sensitivity analytics including bid-ask spread and trading thresholds, and identifying unauthorized programmatic traders.
- Design a predictive classification model to differentiate between A-book investors, who pose higher risks to brokers, and B-book investors, who pose lower risks.
- Transfer positions from A-book investors to the market makers and manage B-book investors' risk for profit optimization using models such as Neural Network, XGBoost, CatBoost, and Random Forest.
- Explore retail investor behavior patterns using machine learning and technical indicators like moving averages, Bollinger Bands, and MACD.
- Simulate profit and loss from classified investors and improve performance by 60% compared to benchmarks.
- Enhance profit loss simulations by analyzing the sensitivity of bid-ask spread term structures, cover threshold term structures, and strategies for taking profit and cutting loss.
- Analyze aspects such as return, volatility, bid-ask spread, and number of ticks to understand trend causality.
- Detect traders using prohibited programming methods via models like Auto-encoder, KNN, and Isolated Forest.
- Employ genetic algorithms to handle a large volume of investors.
Technologies: Python, Scikit-learn, Numpy, Pandas, Matplotlib, Tensorflow