Enhancing cross-sectional currency strategies by context-aware learning to rank with self-attention
The performance of a cross-sectional currency strategy depends crucially on accurately ranking instruments prior to portfolio construction. Although this ranking step is traditionally performed using heuristics or by sorting the outputs produced by pointwise regression or classification techniques,...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Portfolio Management Research
2022
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