150 citations · 416 across the 41 of their papers we have counts for
7 papers · 1 filter
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
Kieran Wood, Sven Giegerich, Stephen Roberts +1
We introduce the Momentum Transformer, an attention-based deep-learning architecture, which outperforms benchmark time-series momentum and mean-reversion trading strategies. Unlike…
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…
Same State, Different Task: Continual Reinforcement Learning without Interference
Samuel Kessler, Jack Parker-Holder, Philip Ball +2
Continual Learning (CL) considers the problem of training an agent sequentially on a set of tasks while seeking to retain performance on all previous tasks. A key challenge in CL i…
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
Kieran Wood, Stephen Roberts, Stefan Zohren
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 d…
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…
Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention
Daniel Poh, Bryan Lim, Stefan Zohren +1
The performance of a cross-sectional currency strategy depends crucially on accurately ranking instruments prior to portfolio construction. While this ranking step is traditionally…
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…