论文标题
金融中的转移排名:申请横断面动量,数据稀缺
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity
论文作者
论文摘要
横截面策略是一种古典且流行的交易方式,最近的高性能变体结合了复杂的神经体系结构。尽管这些策略已成功地应用于涉及具有悠久历史的成熟资产的数据丰富的设置,但将它们部署在具有有限样本的仪器上,通常会产生过度拟合性能的过度模型。在本文中,我们介绍了融合的编码网络 - 一种新颖的和混合参数共享转移排名模型。该模型使用在源数据集上操作的编码器 - 注意模块提取的信息,该模块具有相似但单独的模块,该模块集中在较小的目标数据集上。这减轻了通用性差的模型问题,这是对稀缺目标数据培训的结果。此外,自我发挥的机制使工具之间的相互作用不仅在模型训练期间的损失水平,而且在推理时间。融合编码器网络专注于市场资本化应用于前十的加密货币,因此,融合的编码器网络的表现优于大多数性能指标的参考基准,在经典势头上,夏普比率的提升比经典势头相对于最佳基准的50%,而无需交易模型即可提高3倍。即使考虑到与加密货币相关的高交易成本后,它仍会继续超过基准。
Cross-sectional strategies are a classical and popular trading style, with recent high performing variants incorporating sophisticated neural architectures. While these strategies have been applied successfully to data-rich settings involving mature assets with long histories, deploying them on instruments with limited samples generally produce over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a novel and hybrid parameter-sharing transfer ranking model. The model fuses information extracted using an encoder-attention module operated on a source dataset with a similar but separate module focused on a smaller target dataset of interest. This mitigates the issue of models with poor generalisability that are a consequence of training on scarce target data. Additionally, the self-attention mechanism enables interactions among instruments to be accounted for, not just at the loss level during model training, but also at inference time. Focusing on momentum applied to the top ten cryptocurrencies by market capitalisation as a demonstrative use-case, the Fused Encoder Networks outperforms the reference benchmarks on most performance measures, delivering a three-fold boost in the Sharpe ratio over classical momentum as well as an improvement of approximately 50% against the best benchmark model without transaction costs. It continues outperforming baselines even after accounting for the high transaction costs associated with trading cryptocurrencies.