Publications

Publications


Neural Alpha: Improve Portfolio Quality Through Mulit-Aspect Alpha Ensemble

Yu-Chen Den, Kuan-Yu Chen, Jia-Wei Liao, Tian Hao Darby Chang
Work in Progress
Financial Machine Learning Alpha Mining Learning to Rank
We propose a multi-aspect multi-alpha ensemble framework, Neural Alpha, to improve the diversity and risk controllability of portfolio, therefore achieved SOTA performance.

Does One Pattern Fit All? Image Analysis with Different Equity Styles

Yu-Chen Den, Zong-Wei Yeh, Kendro Vincent
International Conference of FeAT 2024
Financial Machine Learning Computer Vision Empirical Asset Pricing
Toward investigating stocks with different patterns, we found that making stock prediction problem as multi-class classification is more suitable than just a binary classification problem.

Momentum-Informed 52-Week High Prediction Through Latent Image Representation

Yu-Chen Den, Kendro Vincent, Zong-Wei Yeh, Ru-En Shih
Work in Progress
Financial Machine Learning Empirical Asset Pricing

Return Predictability of Universal Commodity Ratio

Zong-Wei Yeh, Yu-Chen Den
Work in Progress
Financial Machine Learning Empirical Asset Pricing
License under CC BY-NC-SA 4.0
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