Optimization is a key investment tool: from trading strategies to planning across the economy
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Lepshin, Evgeny Maksimovich Deputy Head of Advanced Machine Learning Algorithms Department, VTB, Moscow, Russia lepshin@vtb.ru
Surzhko, Denis Andreevich Head of Advanced Machine Learning Algorithms Department, VTB, Moscow, Russia dasurzhko@vtb.ru
Abstract Financial markets are a key element of the country's economic development. However, the access of a wide range of participants to financial markets that do not have sufficient financial literacy can lead to excessive market volatility, imbalances in the economy, as well as the loss of capital on the part of investors. So mathematical methods of strategy formation should be of paramount importance, as the only unbiased, statistically verifiable approach. Scientific research in this area is biased towards machine learning methods and does not fully cover optimization algorithms. Optimization algorithms allow not only increase the effectiveness of strategies, but also create individual strategies taking into account the capital and risk appetite of investors. Moreover, further development of optimization algorithms and agent-based modeling can allow more efficient distribution of financial and material flows within the economy as a whole.