Purpose

FinanceAI is an open source project that aims to provide advanced artificial intelligence, statistical and mathematical tools for amateur and sophisticated investors. http://www.javiertordable.com/MathematicalFinance/

The first application that we are working on is called Predictor. Predictor is a tool that gathers financial data and creates powerful pattern classifiers based on that data. Then it uses the classifiers to predict financial performance.

The first version uses yearly financial statements of SP500 companies to predict the performance of its stock one year ahead. And in order to do that it uses a perceptron, a two-layer feed-forward neural network.

Architecture

FinanceAI is structured in two layers. On the first layer we have a set of libraries for artificial intelligence, statistics and mathematics. This methods are created in a generic way so that they can be used by an array of applications.

On the second layer we have a set of tools for multiple financial purposes. In particular Predictor uses the AI library to perform pattern classification, taking as input income, cash flow and balance sheets of publicly traded companies to predict stock price movements. It is possible to substitute the neural net currently used for any other classifier, like a Support Vector Machine, a Naïve Bayes Classifier or a Decision Tree.

Evolution

Right now the focus is in the initial applications and the AI techniques used by them. However we plan to expand this in the future by growing both in the number of applications and the techniques.

Here are some tools that we plan to develop:

• Asset allocation
• Technical analysis of stock performance and extrapolation
• Game theoretic analysis of market evolution
• IDE for application of Artificial Intelligence techniques to financial data

And some of the methods that we are working on:

• Time series analysis, including financial indicators and Fourier analysis
• Classical econometrical formulas, in particular for asset valuation and asset allocation
• Linear Regression
• Risk Management, VaR analysis