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q-fin.TR2026
DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management
Kieran Wood, Stephen J. Roberts, Stefan Zohren
We propose DeePM (Deep Portfolio Manager), a structured deep-learning macro portfolio manager trained end-to-end to maximize a robust, risk-adjusted utility. DeePM addresses three…
q-fin.TR2023★ 4 cited
Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
Kieran Wood, Samuel Kessler, Stephen J. Roberts +1
Forecasting models for systematic trading strategies do not adapt quickly when financial market conditions rapidly change, as was seen in the advent of the COVID-19 pandemic in 202…