2 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.PM2023★ 1 cited
Learning to Learn Financial Networks for Optimising Momentum Strategies
Xingyue Pu, Stefan Zohren, Stephen Roberts +1
Network momentum provides a novel type of risk premium, which exploits the interconnections among assets in a financial network to predict future returns. However, the current proc…
q-fin.PM2023
Network Momentum across Asset Classes
Xingyue Pu, Stephen Roberts, Xiaowen Dong +1
We investigate the concept of network momentum, a novel trading signal derived from momentum spillover across assets. Initially observed within the confines of pairwise economic an…
q-fin.ST2023★ 2 cited
Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects
Chao Zhang, Xingyue Pu, Mihai Cucuringu +1
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks…