Matches in SemOpenAlex for { <https://semopenalex.org/work/W4292954599> ?p ?o ?g. }
Showing items 1 to 80 of
80
with 100 items per page.
- W4292954599 abstract "Cross-sectional strategies are a classical and popular trading style, with recent high performing variants incorporating sophisticated neural architectures. While these strategies have been applied successfully to data-rich settings involving mature assets with long histories, deploying them on instruments with limited samples generally produce over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a novel and hybrid parameter-sharing transfer ranking model. The model fuses information extracted using an encoder-attention module operated on a source dataset with a similar but separate module focused on a smaller target dataset of interest. This mitigates the issue of models with poor generalisability that are a consequence of training on scarce target data. Additionally, the self-attention mechanism enables interactions among instruments to be accounted for, not just at the loss level during model training, but also at inference time. Focusing on momentum applied to the top ten cryptocurrencies by market capitalisation as a demonstrative use-case, the Fused Encoder Networks outperforms the reference benchmarks on most performance measures, delivering a three-fold boost in the Sharpe ratio over classical momentum as well as an improvement of approximately 50% against the best benchmark model without transaction costs. It continues outperforming baselines even after accounting for the high transaction costs associated with trading cryptocurrencies." @default.
- W4292954599 created "2022-08-24" @default.
- W4292954599 creator A5051011944 @default.
- W4292954599 creator A5058617210 @default.
- W4292954599 creator A5090331439 @default.
- W4292954599 date "2022-08-21" @default.
- W4292954599 modified "2023-10-17" @default.
- W4292954599 title "Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity" @default.
- W4292954599 doi "https://doi.org/10.48550/arxiv.2208.09968" @default.
- W4292954599 hasPublicationYear "2022" @default.
- W4292954599 type Work @default.
- W4292954599 citedByCount "1" @default.
- W4292954599 countsByYear W42929545992022 @default.
- W4292954599 crossrefType "posted-content" @default.
- W4292954599 hasAuthorship W4292954599A5051011944 @default.
- W4292954599 hasAuthorship W4292954599A5058617210 @default.
- W4292954599 hasAuthorship W4292954599A5090331439 @default.
- W4292954599 hasBestOaLocation W42929545991 @default.
- W4292954599 hasConcept C10138342 @default.
- W4292954599 hasConcept C109747225 @default.
- W4292954599 hasConcept C111919701 @default.
- W4292954599 hasConcept C118505674 @default.
- W4292954599 hasConcept C119857082 @default.
- W4292954599 hasConcept C124101348 @default.
- W4292954599 hasConcept C13280743 @default.
- W4292954599 hasConcept C136764020 @default.
- W4292954599 hasConcept C139938925 @default.
- W4292954599 hasConcept C149782125 @default.
- W4292954599 hasConcept C154945302 @default.
- W4292954599 hasConcept C162324750 @default.
- W4292954599 hasConcept C175444787 @default.
- W4292954599 hasConcept C180706569 @default.
- W4292954599 hasConcept C185798385 @default.
- W4292954599 hasConcept C189430467 @default.
- W4292954599 hasConcept C205649164 @default.
- W4292954599 hasConcept C2776214188 @default.
- W4292954599 hasConcept C2780821815 @default.
- W4292954599 hasConcept C41008148 @default.
- W4292954599 hasConcept C75949130 @default.
- W4292954599 hasConcept C77088390 @default.
- W4292954599 hasConcept C98965940 @default.
- W4292954599 hasConceptScore W4292954599C10138342 @default.
- W4292954599 hasConceptScore W4292954599C109747225 @default.
- W4292954599 hasConceptScore W4292954599C111919701 @default.
- W4292954599 hasConceptScore W4292954599C118505674 @default.
- W4292954599 hasConceptScore W4292954599C119857082 @default.
- W4292954599 hasConceptScore W4292954599C124101348 @default.
- W4292954599 hasConceptScore W4292954599C13280743 @default.
- W4292954599 hasConceptScore W4292954599C136764020 @default.
- W4292954599 hasConceptScore W4292954599C139938925 @default.
- W4292954599 hasConceptScore W4292954599C149782125 @default.
- W4292954599 hasConceptScore W4292954599C154945302 @default.
- W4292954599 hasConceptScore W4292954599C162324750 @default.
- W4292954599 hasConceptScore W4292954599C175444787 @default.
- W4292954599 hasConceptScore W4292954599C180706569 @default.
- W4292954599 hasConceptScore W4292954599C185798385 @default.
- W4292954599 hasConceptScore W4292954599C189430467 @default.
- W4292954599 hasConceptScore W4292954599C205649164 @default.
- W4292954599 hasConceptScore W4292954599C2776214188 @default.
- W4292954599 hasConceptScore W4292954599C2780821815 @default.
- W4292954599 hasConceptScore W4292954599C41008148 @default.
- W4292954599 hasConceptScore W4292954599C75949130 @default.
- W4292954599 hasConceptScore W4292954599C77088390 @default.
- W4292954599 hasConceptScore W4292954599C98965940 @default.
- W4292954599 hasLocation W42929545991 @default.
- W4292954599 hasOpenAccess W4292954599 @default.
- W4292954599 hasPrimaryLocation W42929545991 @default.
- W4292954599 hasRelatedWork W2039826537 @default.
- W4292954599 hasRelatedWork W2078730080 @default.
- W4292954599 hasRelatedWork W2511279186 @default.
- W4292954599 hasRelatedWork W2535616844 @default.
- W4292954599 hasRelatedWork W2963058055 @default.
- W4292954599 hasRelatedWork W2963516301 @default.
- W4292954599 hasRelatedWork W3004715525 @default.
- W4292954599 hasRelatedWork W4200446208 @default.
- W4292954599 hasRelatedWork W4200634454 @default.
- W4292954599 hasRelatedWork W4287872046 @default.
- W4292954599 isParatext "false" @default.
- W4292954599 isRetracted "false" @default.
- W4292954599 workType "article" @default.