most citedTrading with the Momentum Transformer: An Intelligent and Interpretable Architecture

11 citations · 11 across the 1 of their papers we have counts for

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1 paper

cs.LG2021★ 11 cited

Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture

Kieran Wood, Sven Giegerich, Stephen Roberts +1

We introduce the Momentum Transformer, an attention-based deep-learning architecture, which outperforms benchmark time-series momentum and mean-reversion trading strategies. Unlike…