292 citations · 466 across the 8 of their papers we have counts for
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q-fin.PM2021★ 1 cited
A Universal End-to-End Approach to Portfolio Optimization via Deep Learning
Chao Zhang, Zihao Zhang, Mihai Cucuringu +1
We propose a universal end-to-end framework for portfolio optimization where asset distributions are directly obtained. The designed framework circumvents the traditional forecasti…
cs.LG2021★ 3 cited
Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units
Zihao Zhang, Stefan Zohren
We design multi-horizon forecasting models for limit order book (LOB) data by using deep learning techniques. Unlike standard structures where a single prediction is made, we adopt…
q-fin.TR2021
Deep Learning for Market by Order Data
Zihao Zhang, Bryan Lim, Stefan Zohren
Market by order (MBO) data - a detailed feed of individual trade instructions for a given stock on an exchange - is arguably one of the most granular sources of microstructure info…