most citedDeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data

4 citations · 4 across the 1 of their papers we have counts for

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1 paper

cs.LG2020★ 4 cited

DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data

Aiusha Sangadiev, Rodrigo Rivera-Castro, Kirill Stepanov +5

This work proposes DeepFolio, a new model for deep portfolio management based on data from limit order books (LOB). DeepFolio solves problems found in the state-of-the-art for LOB…