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The performance of a cross-sectional currency strategy depends crucially on accurately ranking instruments prior to portfolio construction.
On Application of Learning to Rank for E-Commerce Search
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The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis
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Craig Burnside, Martin Eichenbaum, and Sergio Rebelo. 2011 · 2011
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Learning to Rank for Information Retrieval
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Time Series Momentum
Tobias J. Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen. 2012 · 2011
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The Cross-Section of Stock Returns in Frontier Emerging Markets
Wilma de Groot, Juan Pang, and Laurens Swinkels. 2012 · 2012
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Currency Momentum Strategies
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf. 2012 · 2012
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The Behavior of Currencies during Risk-off Episodes
Reinout De Bock and Irineu de Carvalho Filho. 2015 · 2014
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Learning to Rank for Information Retrieval and Natural Language Processing, Second Edition
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Enhancing the Momentum Strategy through Deep Regression
Saejoon Kim. 2019 · 2018
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Stock Ranking with Market Microstructure, Technical Indicator and News. In Proceedings on the International Conference on Artificial Intelligence (ICAI) . The Steering Committee of The World Congress in Computer Science, Computer …, 322–328
Liang Wang and Khaled Rasheed. 2018 · 2018
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Learning Groupwise Multivariate Scoring Functions Using Deep Neural Networks. In Proceedings of the 2019 ACM SIGIR International Conference on Theory of Information Retrieval (ICTIR ’19) . Association for Computing Machinery, New York, NY, USA, 85–92
Qingyao Ai, Xuanhui Wang, Sebastian Bruch, Nadav Golbandi, Michael Bendersky, and Marc Najork. 2019 · 2019
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Autoencoder Asset Pricing Models
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Online Learning to Rank for Sequential Music Recommendation. In Proceedings of the 13th ACM Conference on Recommender Systems . ACM, Copenhagen Denmark, 237–245
Bruno L. Pereira, Alberto Ueda, Gustavo Penha, Rodrygo L. T. Santos, and Nivio Ziviani. 2019 · 2019
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Globally Optimized Mutual Influence Aware Ranking in E-Commerce Search. In Proceedings of the 27th International Joint Conference on Artificial Intelligence (Stockholm, Sweden) (IJCAI’18) . AAAI Press, 3725–3731
Tao Zhuang, Wenwu Ou, and Zhirong Wang. 2018 · 2020
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US dollar exchange rates
(BIS) Bank for International Settlements. 2021 · 2021
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VIX Historical Price Data
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Building Cross-Sectional Systematic Strategies by Learning to Rank
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Are Neural Rankers Still Outperformed by Gradient Boosted Decision Trees?. In International Conference on Learning Representations (ICLR)
Zhen Qin, Le Yan, Honglei Zhuang, Yi Tay, Rama Kumar Pasumarthi, Xuanhui Wang, Mike Bendersky, and Marc Najork. 2021 · 2021
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Some Simple Effective Approximations to the 2-Poisson Model for Probabilistic Weighted Retrieval
S. E. Robertson and S. Walker. 1994 · 2099
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