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Algorithmic Trading Strategies
Research Group in Financial Engineering & Investment Science
 
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Hidformer: Transformer-Style Neural Network in Stock Price Forecasting
Posted by Mark Field in Financial Engineering & Investment Science and Algorithmic Trading Strategies
This paper investigates the application of Transformer-based neural networks to stock price forecasting, with a special focus on the intersection of machine learning techniques and financial....
Turnover of investment portfolio via covariance matrix of returns
Posted by Mark Field in Financial Engineering & Investment Science and Algorithmic Trading Strategies
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies ....
Entropy-Assisted Quality Pattern Identification in Finance
Posted by Mark Field in Financial Engineering & Investment Science and Algorithmic Trading Strategies
Short-term patterns in financial time series form the cornerstone of many algorithmic trading strategies, yet extracting these patterns reliably from noisy market data remains a formidable c....
Dynamic Mode Decomposition for Financial Trading Strategies
Posted by Mark Field in Financial Engineering & Investment Science and Algorithmic Trading Strategies
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of....