3 papers
q-fin.ST2026
Macro-aware time series forecasting via hierarchical mixed-frequency attention models
Daniel Cunha Oliveira, Kieran Wood, Stefan Zohren +2
Deep learning models show promise in financial forecasting, yet their generalization is often undermined by small datasets, noisy signals, and non-stationarity. While meta-learning…
q-fin.ST2025
(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies
Daniel Cunha Oliveira, Grover Guzman, Nick Firoozye
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio op…
q-fin.PM2025
Tactical Asset Allocation with Macroeconomic Regime Detection
Daniel Cunha Oliveira, Dylan Sandfelder, André Fujita +2
This paper extends the tactical asset allocation literature by incorporating regime modeling using techniques from machine learning. We propose a novel model that classifies curren…