Arya Chakraborty

Arya Chakraborty, Auhona Basu

The financial domain presents a complex environment for stock market prediction, characterized by volatile patterns and the influence of multifaceted data sources. Traditional models have leveraged either Convolutional Neural Networks (CNN) for spatial feature extraction or Long Short-Term Memory (LSTM) networks for capturing temporal dependencies, with limited integration of external textual data. This paper proposes a novel Two-Level Conv-LSTM Neural Network integrated with a Large Language Model (LLM) for comprehensive stock advising. The model harnesses the strengths of Conv-LSTM for analyzing time-series data and LLM for processing and understanding textual information from financial news, social media, and reports. In the first level, convolutional layers are employed to identify local patterns in historical stock prices and technical indicators, followed by LSTM layers to capture the temporal dynamics. The second level integrates the output with an LLM that analyzes sentiment and contextual information from textual data, providing a holistic view of market conditions. The combined approach aims to improve prediction accuracy and provide contextually rich stock advising.

Arya Chakraborty, Randhir Singh

Conventional momentum strategies, despite their proven efficacy in generating alpha, frequently suffer from the "Winner's Curse", a structural vulnerability in which high performing assets exhibit clustered volatility and severe drawdowns during market reversals. To counteract this propensity for momentum crashes, this study presents the Adaptive Equity Generation and Immunisation System (AEGIS), a novel framework that fundamentally reengineers the trade-off between growth and stability. By leveraging a volatility-adjusted momentum filter to identify trend strength and employing a minimax correlation algorithm to enforce structural diversification, the model utilises sequential least squares programming (SLSQP) to optimise capital allocation for the sortino ratio. This architecture allows the portfolio to dynamically adapt to distinct market regimes: explicitly lowering the intensity of crashes during bear markets by decoupling correlated risks, while retaining asymmetric upside participation during bull runs. Empirical validation via a comprehensive 20-year walk-forward backtest (2006-2025), which covers significant stress events like the 2008 Global Financial Crisis, confirms that the framework produces substantial excess alpha relative to the standard S&P 500 benchmark. Notably, the strategy successfully matched the capital appreciation of the high-beta NASDAQ-100 index while achieving significantly reduced downside volatility and improved structural resilience. These results suggest that synthetic beta can be effectively engineered through mathematical regularisation, enabling investors to capture the high-growth characteristics of concentrated portfolios while preserving the defensive stability typically associated with broad-market diversification.

Arya Chakraborty

While multivariate logistic regression classifiers are a great way of implementing collaborative filtering - a method of making automatic predictions about the interests of a user by collecting preferences or taste information from many other users, we can also achieve similar results using neural networks. A recommender system is a subclass of information filtering system that provide suggestions for items that are most pertinent to a particular user. A perceptron or a neural network is a machine learning model designed for fitting complex datasets using backpropagation and gradient descent. When coupled with advanced optimization techniques, the model may prove to be a great substitute for classical logistic classifiers. The optimizations include feature scaling, mean normalization, regularization, hyperparameter tuning and using stochastic/mini-batch gradient descent instead of regular gradient descent. In this use case, we will use the perceptron in the recommender system to fit the parameters i.e., the data from a multitude of users and use it to predict the preference/interest of a particular user.