Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning

被引:0
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作者
Ong, Joel [1 ]
Herremans, Dorien [1 ]
机构
[1] Singapore University of Technology and Design, 8 Somapah Rd, Singapore,487372, Singapore
来源
SSRN | 2022年
关键词
Compilation and indexing terms; Copyright 2024 Elsevier Inc;
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摘要
Costs - Deep neural networks - Learning algorithms - Learning systems - Linearization - Momentum - Network architecture - Time series
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