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Found 4 papers, 0 papers with code
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models.
Diversified reward-risk parity in portfolio construction
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction.
Robust Deep Multi-modal Learning Based on Gated Information Fusion Network
The goal of multi-modal learning is to use complimentary information on the relevant task provided by the multiple modalities to achieve reliable and robust performance.
Maximum drawdown, recovery, and momentum
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery.
