1 citations · 2 across the 3 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2022★ 1 cited
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity
Daniel Poh, Stephen Roberts, Stefan Zohren
Cross-sectional strategies are a classical and popular trading style, with recent high performing variants incorporating sophisticated neural architectures. While these strategies…
q-fin.TR2020
Building Cross-Sectional Systematic Strategies By Learning to Rank
Daniel Poh, Bryan Lim, Stefan Zohren +1
The success of a cross-sectional systematic strategy depends critically on accurately ranking assets prior to portfolio construction. Contemporary techniques perform this ranking s…