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Project that wishes to extend the work of Lim, Zohren and Roberts 2019 to account for cross-asset variation in time series momentum using LSTM networks.

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lstm-crossasset-momentum

This project wishes to extend the work of Lim, Zohren and Roberts (2019) to account for cross-asset variation in time series momentum using LSTM networks.

References

B. Lim, S. Zohren, S. Roberts. Enhancing Time-Series Momentum Strategies Using Deep Neural Networks. The Journal of Financial Data Science, 1 (4) 19-38, Oct 2019.

A. Pitkäjärvia, M. Suominena, L. Vaittinenb. Cross-asset signals and time series momentum. The Journal of Financial Economics. Volume 136, Issue 1, April 2020, Pages 63-85

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Project that wishes to extend the work of Lim, Zohren and Roberts 2019 to account for cross-asset variation in time series momentum using LSTM networks.

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