79 citations · 133 across the 5 of their papers we have counts for
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q-fin.CP2020
Time-varying neural network for stock return prediction
Steven Y. K. Wong, Jennifer Chan, Lamiae Azizi +1
We consider the problem of neural network training in a time-varying context. Machine learning algorithms have excelled in problems that do not change over time. However, problems…
q-fin.PM2020★ 16 cited
Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
Nick James, Max Menzies, Jennifer Chan
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an altern…