7 citations · 8 across the 3 of their papers we have counts for
3 papers
q-fin.RM2021★ 7 cited
Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation
Hengxu Lin, Dong Zhou, Weiqing Liu +1
Modeling and managing portfolio risk is perhaps the most important step to achieve growing and preserving investment performance. Within the modern portfolio construction framework…
cs.LG2021★ 1 cited
Learning Multiple Stock Trading Patterns with Temporal Routing Adaptor and Optimal Transport
Hengxu Lin, Dong Zhou, Weiqing Liu +1
Successful quantitative investment usually relies on precise predictions of the future movement of the stock price. Recently, machine learning based solutions have shown their capa…
q-fin.TR2021
Universal Trading for Order Execution with Oracle Policy Distillation
Yuchen Fang, Kan Ren, Weiqing Liu +5
As a fundamental problem in algorithmic trading, order execution aims at fulfilling a specific trading order, either liquidation or acquirement, for a given instrument. Towards eff…