Related papers: Building Cross-Sectional Systematic Strategies By …

Deep reinforcement learning (DRL) has been widely studied in the portfolio management task. However, it is challenging to understand a DRL-based trading strategy because of the black-box nature of deep neural networks. In this paper, we…

Ranking is at the core of Information Retrieval. Classic ranking optimization studies often treat ranking as a sorting problem with the assumption that the best performance of ranking would be achieved if we rank items according to their…

Traditional Learning-To-Rank (LETOR) approaches, including pairwise methods like RankNet and LambdaMART, often fall short by solely focusing on pairwise comparisons, leading to sub-optimal global rankings. Conversely, deep learning based…

Learning-based low rank approximation algorithms can significantly improve the performance of randomized low rank approximation with sketch matrix. With the learned value and fixed non-zero positions for sketch matrices from learning-based…

A binary classifier that tries to predict if the price of an asset will increase or decrease naturally gives rise to a trading strategy that follows the prediction and thus always has a position in the market. Selective classification…

Nowadays, state-of-the-art learning-to-rank methods are based on gradient-boosted decision trees (GBDT). The most well-known algorithm is LambdaMART which was proposed more than a decade ago. Recently, several other GBDT-based ranking…

In reinforcement learning, pre-trained low-level skills have the potential to greatly facilitate exploration. However, prior knowledge of the downstream task is required to strike the right balance between generality (fine-grained control)…

Most combinatorial optimization problems can be formulated as mixed integer linear programming (MILP), in which branch-and-bound (B\&B) is a general and widely used method. Recently, learning to branch has become a hot research topic in the…

This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…

Machine learning driven trading strategies have garnered a lot of interest over the past few years. There is, however, limited consensus on the ideal approach for the development of such trading strategies. Further, most literature has…

Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock trading. The lack of…

Portfolio traders strive to identify dynamic portfolio allocation schemes so that their total budgets are efficiently allocated through the investment horizon. This study proposes a novel portfolio trading strategy in which an intelligent…

We propose a new model for supervised learning to rank. In our model, the relevance labels are assumed to follow a categorical distribution whose probabilities are constructed based on a scoring function. We optimize the training objective…

The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…

Search and recommendation (S&R) are fundamental components of modern online platforms, yet effectively leveraging search behaviors to improve recommendation remains a challenging problem. User search histories often contain noisy or…

Stochastic algorithms are among the best for solving computationally hard search and reasoning problems. The runtime of such procedures is characterized by a random variable. Different algorithms give rise to different probability…

In this paper, we document a novel machine learning based bottom-up approach for static and dynamic portfolio optimization on, potentially, a large number of assets. The methodology applies to general constrained optimization problems and…

Stock market prediction has been a classical yet challenging problem, with the attention from both economists and computer scientists. With the purpose of building an effective prediction model, both linear and machine learning tools have…

In e-commerce platforms such as Amazon and TaoBao, ranking items in a search session is a typical multi-step decision-making problem. Learning to rank (LTR) methods have been widely applied to ranking problems. However, such methods often…

Regression is a fundamental prediction task common in data-centric engineering applications that involves learning mappings between continuous variables. In many engineering applications (e.g.\ structural health monitoring), feature-label…