2 papers
q-fin.PM2016
Deep Portfolio Theory
J. B. Heaton, N. G. Polson, J. H. Witte
We construct a deep portfolio theory. By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and ver…
cs.LG2016
Deep Learning in Finance
J. B. Heaton, N. G. Polson, J. H. Witte
We explore the use of deep learning hierarchical models for problems in financial prediction and classification. Financial prediction problems -- such as those presented in designi…