Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
Shrinking the cross-section.Journal of Financial Economics, 135(2):271–292, 2020
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RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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RankGLU: Residual Gated Score Formation for Cross-Sectional Stock Prediction
RankGLU improves mean information coefficient on CSI300 from 0.0654 to 0.0727 by using a residual bottleneck gated linear unit for cross-sectional stock score formation.