6 citations · 9 across the 3 of their papers we have counts for
3 papers
q-fin.TR2022
Axial-LOB: High-Frequency Trading with Axial Attention
Damian Kisiel, Denise Gorse
Previous attempts to predict stock price from limit order book (LOB) data are mostly based on deep convolutional neural networks. Although convolutions offer efficiency by restrict…
q-fin.PM2022★ 3 cited
Portfolio Transformer for Attention-Based Asset Allocation
Damian Kisiel, Denise Gorse
Traditional approaches to financial asset allocation start with returns forecasting followed by an optimization stage that decides the optimal asset weights. Any errors made during…
q-fin.PM2021★ 6 cited
A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection
Damian Kisiel, Denise Gorse
This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewher…