150 citations · 416 across the 41 of their papers we have counts for
3 papers · 1 filter
Extracting Alpha from Financial Analyst Networks
Dragos Gorduza, Yaxuan Kong, Xiaowen Dong +1
We investigate the effectiveness of a momentum trading signal based on the coverage network of financial analysts. This signal builds on the key information-brokerage role financia…
Deep Reinforcement Learning for Trading
Zihao Zhang, Stefan Zohren, Stephen Roberts
We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatil…
BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
Zihao Zhang, Stefan Zohren, Stephen Roberts
We showcase how dropout variational inference can be applied to a large-scale deep learning model that predicts price movements from limit order books (LOBs), the canonical data so…