相关论文: Enhancing Time Series Momentum Strategies Using De…

We present a large scale benchmark of modern deep learning architectures for a financial time series prediction and position sizing task, with a primary focus on Sharpe ratio optimization. Evaluating linear models, recurrent networks,…

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 difficulties adjusting to rapid changes in market conditions,…

We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatility scaling is incorporated to create reward functions which…

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-sectional momentum features over time. While both time-series and…

Network momentum provides a novel type of risk premium, which exploits the interconnections among assets in a financial network to predict future returns. However, the current process of constructing financial networks relies heavily on…

The paper describes the deep learning approach for forecasting non-stationary time series with using time trend correction in a neural network model. Along with the layers for predicting sales values, the neural network model includes a…

A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however,…

Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…

In this work we present a data-driven end-to-end Deep Learning approach for time series prediction, applied to financial time series. A Deep Learning scheme is derived to predict the temporal trends of stocks and ETFs in NYSE or NASDAQ. Our…

We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…

Predicting fund performance is beneficial to both investors and fund managers, and yet is a challenging task. In this paper, we have tested whether deep learning models can predict fund performance more accurately than traditional…

Forecasting with multivariate time series, which aims to predict future values given previous and current several univariate time series data, has been studied for decades, with one example being ARIMA. Because it is difficult to measure…

The primary objective of this research is to build a Momentum Transformer that is expected to outperform benchmark time-series momentum and mean-reversion trading strategies. We extend the ideas introduced in the paper Trading with the…

Financial time series prediction, especially with machine learning techniques, is an extensive field of study. In recent times, deep learning methods (especially time series analysis) have performed outstandingly for various industrial…

Extracting previously unknown patterns and information in time series is central to many real-world applications. In this study, we introduce a novel approach to modeling financial time series using a deep learning model. We use a Long…

This paper studies deep learning methodologies for portfolio optimization in the US equities market. We present a novel residual switching network that can automatically sense changes in market regimes and switch between momentum and…

We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model…

Deep learning offers new tools for portfolio optimization. We present an end-to-end framework that directly learns portfolio weights by combining Long Short-Term Memory (LSTM) networks to model temporal patterns, Graph Attention Networks…

Forecasting stock prices can be interpreted as a time series prediction problem, for which Long Short Term Memory (LSTM) neural networks are often used due to their architecture specifically built to solve such problems. In this paper, we…

This paper presents a deep learning framework based on Long Short-term Memory Network(LSTM) that predicts price movement of cryptocurrencies from trade-by-trade data. The main focus of this study is on predicting short-term price changes in…