BYU

Abstract by Cory Hunter

Personal Infomation


Presenter's Name

Cory Hunter

Co-Presenters

Peter Crawford
Chelsey Noorda

Degree Level

Undergraduate

Co-Authors

Peter Crawford
Chelsey Noorda

Abstract Infomation


Department

Mathematics

Faculty Advisor

Michael Dorff
Robert Snellman

Title

NCH Captial (Part 2): Anomaly Detection for 2016

Abstract

In the world of quantitative finance there are two important classifications of stocks: value and growth. Value stocks are stocks that are seen to be priced at a level below their perceived value. Meanwhile, growth stocks are creating cash flow with at an accelerating rate. For the past 15-20 years, the global market has had equivalent or better returns in growth compared to value. Many economist attribute this to where we are in the business cycle. This difference has proven true for a majority of the years but in 2016 value stocks vastly out performed growth. The goal of the project is to see if it is possible to have predicted this anomaly or not and then build a model that would help predict similar anomalies for the future. To do this we have focused on the Morgan Stanley Capital International World Growth and Value Indexes, or the MSCI Growth and MSCI Value respectively.  We chose this as our predictor as it demonstrates the anomaly that NCH experienced in their investment portfolio. We are building machine learning models that use market data that will attempt to predict the performance for biweekly, monthly and quarterly intervals.