207 citations · 208 across the 4 of their papers we have counts for
4 papers
HLOB -- Information Persistence and Structure in Limit Order Books
Antonio Briola, Silvia Bartolucci, Tomaso Aste
We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encod…
Topological Portfolio Selection and Optimization
Yuanrong Wang, Antonio Briola, Tomaso Aste
Modern portfolio optimization is centered around creating a low-risk portfolio with extensive asset diversification. Following the seminal work of Markowitz, optimal asset allocati…
Homological Convolutional Neural Networks
Antonio Briola, Yuanrong Wang, Silvia Bartolucci +1
Deep learning methods have demonstrated outstanding performances on classification and regression tasks on homogeneous data types (e.g., image, audio, and text data). However, tabu…
Anatomy of a Stablecoin's failure: the Terra-Luna case
Antonio Briola, David Vidal-Tomás, Yuanrong Wang +1
We quantitatively describe the main events that led to the Terra project's failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources;…