相关论文: DeepFolio: Convolutional Neural Networks for Portf…

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)…

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with the consideration of many factors such as investors…

Model-based algorithms, which learn a dynamics model from logged experience and perform some sort of pessimistic planning under the learned model, have emerged as a promising paradigm for offline reinforcement learning (offline RL).…

Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This paper will introduce a strategy based on the classic Deep…

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming approaches, we first approximate the optimal policy by means of…

Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset…

This paper provides an empirical study explores the application of deep learning algorithms-Multilayer Perceptron (MLP), Convolutional Neural Networks (CNN), Long Short-Term Memory (LSTM), and Transformer-in constructing long-short stock…

We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with masked self-attention to update features…

Time series forecasting is a crucial component of many important applications, ranging from forecasting the stock markets to energy load prediction. The high-dimensionality, velocity and variety of the data collected in these applications…

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,…

The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider…

Decision analytics commonly focuses on the text mining of financial news sources in order to provide managerial decision support and to predict stock market movements. Existing predictive frameworks almost exclusively apply traditional…

The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation. A significant body of the quantitative finance literature focuses on utilising…

Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…

In the rapidly evolving world of financial markets, understanding the dynamics of limit order book (LOB) is crucial for unraveling market microstructure and participant behavior. We introduce ClusterLOB as a method to cluster individual…

With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…

We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving…

With the development of deep learning, Dynamic Portfolio Optimization (DPO) problem has received a lot of attention in recent years, not only in the field of finance but also in the field of deep learning. Some advanced research in recent…

Portfolio optimization is a fundamental challenge in quantitative finance, requiring robust computational tools that integrate statistical rigor with practical implementation. We present skfolio, an open-source Python library for portfolio…

We propose deep neural network algorithms to calculate efficient frontier in some Mean-Variance and Mean-CVaR portfolio optimization problems. We show that we are able to deal with such problems when both the dimension of the state and the…