Hopfield Networks for Asset Allocation
Fuente:
arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866908435399835648 |
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| author | Nicolini, Carlo Gopalan, Monisha Staiano, Jacopo Lepri, Bruno |
| author_facet | Nicolini, Carlo Gopalan, Monisha Staiano, Jacopo Lepri, Bruno |
| contents | We present the first application of modern Hopfield networks to the problem of portfolio optimization. We performed an extensive study based on combinatorial purged cross-validation over several datasets and compared our results to both traditional and deep-learning-based methods for portfolio selection. Compared to state-of-the-art deep-learning methods such as Long-Short Term Memory networks and Transformers, we find that the proposed approach performs on par or better, while providing faster training times and better stability. Our results show that Modern Hopfield Networks represent a promising approach to portfolio optimization, allowing for an efficient, scalable, and robust solution for asset allocation, risk management, and dynamic rebalancing. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_17645 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Hopfield Networks for Asset Allocation Nicolini, Carlo Gopalan, Monisha Staiano, Jacopo Lepri, Bruno Machine Learning Computational Finance Portfolio Management We present the first application of modern Hopfield networks to the problem of portfolio optimization. We performed an extensive study based on combinatorial purged cross-validation over several datasets and compared our results to both traditional and deep-learning-based methods for portfolio selection. Compared to state-of-the-art deep-learning methods such as Long-Short Term Memory networks and Transformers, we find that the proposed approach performs on par or better, while providing faster training times and better stability. Our results show that Modern Hopfield Networks represent a promising approach to portfolio optimization, allowing for an efficient, scalable, and robust solution for asset allocation, risk management, and dynamic rebalancing. |
| title | Hopfield Networks for Asset Allocation |
| topic | Machine Learning Computational Finance Portfolio Management |
| url | https://arxiv.org/abs/2407.17645 |