A universal end-to-end approach to portfolio optimization via deep learning
We propose a universal end-to-end framework for portfolio optimization where asset
distributions are directly obtained. The designed framework circumvents the traditional …
distributions are directly obtained. The designed framework circumvents the traditional …
Slow momentum with fast reversion: A trading strategy using deep learning and changepoint detection
Momentum strategies are an important part of alternative investments and are at the heart of
commodity trading advisors (CTAs). These strategies have, however, been found to have …
commodity trading advisors (CTAs). These strategies have, however, been found to have …
Spatio-temporal momentum: Jointly learning time-series and cross-sectional strategies
We introduce Spatio-Temporal Momentum strategies, a class of models that unify both time-
series and cross-sectional momentum strategies by trading assets based on their cross …
series and cross-sectional momentum strategies by trading assets based on their cross …
Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies
We introduce Deep Inception Networks (DINs), a family of Deep Learning models that
provide a general framework for end-to-end systematic trading strategies. DINs extract time …
provide a general framework for end-to-end systematic trading strategies. DINs extract time …
Realised volatility forecasting: Machine learning via financial word embedding
This study develops FinText, a financial word embedding compiled from 15 years of
business news archives. The results show that FinText produces substantially more accurate …
business news archives. The results show that FinText produces substantially more accurate …
Transfer ranking in finance: applications to cross-sectional momentum with data scarcity
Cross-sectional strategies are a classical and popular trading style, with recent high
performing variants incorporating sophisticated neural architectures. While these strategies …
performing variants incorporating sophisticated neural architectures. While these strategies …
Network Momentum across Asset Classes
We investigate the concept of network momentum, a novel trading signal derived from
momentum spillover across assets. Initially observed within the confines of pairwise …
momentum spillover across assets. Initially observed within the confines of pairwise …
Multi-Factor Inception: What to Do with All of These Features?
Cryptocurrency trading represents a nascent field of research, with growing adoption in
industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are …
industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are …
SABER: Stochastic-Aware Bootstrap Ensemble Ranking for portfolio management
E Kouloumpris, K Moutsianas, I Vlahavas - Expert Systems with …, 2024 - Elsevier
Portfolio management (PM) is a central subject of finance that presents many unresolved
challenges. Although solutions have been proposed since the 1950's, recent advances in …
challenges. Although solutions have been proposed since the 1950's, recent advances in …
Enhancing cross-sectional currency strategies by context-aware learning to rank with self-attention
The performance of a cross-sectional currency strategy depends crucially on accurately
ranking instruments prior to portfolio construction. While this ranking step is traditionally …
ranking instruments prior to portfolio construction. While this ranking step is traditionally …