3 citations · 11 across the 24 of their papers we have counts for
4 papers · 1 filter
EXFormer: A Multi-Scale Trend-Aware Transformer with Dynamic Variable Selection for Foreign Exchange Returns Prediction
Dinggao Liu, Robert Ślepaczuk, Zhenpeng Tang
Accurately forecasting daily exchange rate returns represents a longstanding challenge in international finance, as the exchange rate returns are driven by a multitude of correlate…
Alternative Loss Function in Evaluation of Transformer Models
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
The proper design and architecture of testing machine learning models, especially in their application to quantitative finance problems, is crucial. The most important aspect of th…
Generalized Mean Absolute Directional Loss for Machine Learning Trading Models
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
The article presents and evaluates a custom loss function designed specifically for machine learning models used in algorithmic trading. Regardless of the selected asset class and…
Mean Absolute Directional Loss as a New Loss Function for Machine Learning Problems in Algorithmic Investment Strategies
Jakub Michańków, Paweł Sakowski, Robert Ślepaczuk
This paper investigates the issue of an adequate loss function in the optimization of machine learning models used in the forecasting of financial time series for the purpose of al…