7 citations · 8 across the 3 of their papers we have counts for
3 papers · 1 filter
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
Wee Ling Tan, Stephen Roberts, Stefan Zohren
We introduce Spatio-Temporal Momentum strategies, a class of models that unify both time-series and cross-sectional momentum strategies by trading assets based on their cross-secti…
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…
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts +1
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the pro…