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Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large number of assets in different classes. Within the framework of…
The potential of machine learning to automate and control nonlinear, complex systems is well established. These same techniques have always presented potential for use in the investment arena, specifically for the managing of equity…
Dynamic algorithm selection aims to exploit the complementarity of multiple optimization algorithms by switching between them during the search. While these kinds of dynamic algorithms have been shown to have potential to outperform their…
For delivering products or services to their clients, organizations execute manifold business processes. During such execution, upcoming process tasks need to be allocated to internal resources. Resource allocation is a complex…
Learning to rank is a rare technology compared with other techniques such as deep neural networks. The number of experts in the field is roughly 1/6 of the number of professionals in deep learning. Being an effective ranking methodology,…
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors…
This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
The goal of Ordinal Regression is to find a rule that ranks items from a given set. Several learning algorithms to solve this prediction problem build an ensemble of binary classifiers. Ranking by Projecting uses interdependent binary…
We consider the link prediction problem in a partially observed network, where the objective is to make predictions in the unobserved portion of the network. Many existing methods reduce link prediction to binary classification problem.…
Many studies have been undertaken by using machine learning techniques, including neural networks, to predict stock returns. Recently, a method known as deep learning, which achieves high performance mainly in image recognition and speech…
We create a ranking algorithm, the naive Bayes asset ranker. Our algorithm computes the posterior probability that individual assets will be ranked higher than other portfolio constituents. Unlike earlier algorithms, such as the weighted…
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
Deploying deep neural networks for risk-sensitive tasks necessitates an uncertainty estimation mechanism. This paper introduces hierarchical selective classification, extending selective classification to a hierarchical setting. Our…
A sequential training method for large-scale feedforward neural networks is presented. Each layer of the neural network is decoupled and trained separately. After the training is completed for each layer, they are combined together. The…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…
A key challenge in satisficing planning is to use multiple heuristics within one heuristic search. An aggregation of multiple heuristic estimates, for example by taking the maximum, has the disadvantage that bad estimates of a single…
Trend following and momentum investing are common strategies employed by asset managers. Even though they can be helpful in the proper situations, they are limited in the sense that they work just by looking at past, as if we were driving…
Stock prediction aims to predict the future trends of a stock in order to help investors to make good investment decisions. Traditional solutions for stock prediction are based on time-series models. With the recent success of deep neural…
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider a learning algorithm, namely the Kiefer--Wolfowitz version…