{"id":"https://openalex.org/W4306904972","doi":"https://doi.org/10.1145/3533271.3561666","title":"Sequential asset ranking in nonstationary time series","display_name":"Sequential asset ranking in nonstationary time series","publication_year":2022,"publication_date":"2022-10-20","ids":{"openalex":"https://openalex.org/W4306904972","doi":"https://doi.org/10.1145/3533271.3561666"},"language":"en","primary_location":{"id":"doi:10.1145/3533271.3561666","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3533271.3561666","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Third ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"preprint","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2202.12186","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046296386","display_name":"Gabriel Borrageiro","orcid":"https://orcid.org/0000-0002-0063-7103"},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Gabriel Francisco Borrageiro","raw_affiliation_strings":["Department of Computer Science, University College London, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, UK","institution_ids":["https://openalex.org/I45129253"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051759229","display_name":"Nick Firoozye","orcid":"https://orcid.org/0000-0002-6460-0406"},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Nick Firoozye","raw_affiliation_strings":["Department of Computer Science, University College London, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, United Kingdom","institution_ids":["https://openalex.org/I45129253"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5037669899","display_name":"Paolo Barucca","orcid":"https://orcid.org/0000-0003-4588-667X"},"institutions":[{"id":"https://openalex.org/I45129253","display_name":"University College London","ror":"https://ror.org/02jx3x895","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I45129253"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Paolo Barucca","raw_affiliation_strings":["Department of Computer Science, University College London, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University College London, United Kingdom","institution_ids":["https://openalex.org/I45129253"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I45129253"],"apc_list":null,"apc_paid":null,"fwci":0.1633,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.53689204,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"454","last_page":"462"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.989799976348877,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9836000204086304,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.6695771217346191},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6154686808586121},{"id":"https://openalex.org/keywords/ranking","display_name":"Ranking (information retrieval)","score":0.6072943210601807},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5660632848739624},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.5640222430229187},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.451049268245697},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.35976165533065796},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.358743280172348},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.3167846202850342},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.19882053136825562},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.119850754737854},{"id":"https://openalex.org/keywords/geology","display_name":"Geology","score":0.060938477516174316}],"concepts":[{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6695771217346191},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6154686808586121},{"id":"https://openalex.org/C189430467","wikidata":"https://www.wikidata.org/wiki/Q7293293","display_name":"Ranking (information retrieval)","level":2,"score":0.6072943210601807},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5660632848739624},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.5640222430229187},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.451049268245697},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.35976165533065796},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.358743280172348},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.3167846202850342},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.19882053136825562},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.119850754737854},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.060938477516174316},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1145/3533271.3561666","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3533271.3561666","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Third ACM International Conference on AI in Finance","raw_type":"proceedings-article"},{"id":"pmh:oai:arXiv.org:2202.12186","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2202.12186","pdf_url":"https://arxiv.org/pdf/2202.12186","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:RePEc:arx:papers:2202.12186","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:eprints.ucl.ac.uk.OAI2:10162981","is_oa":false,"landing_page_url":"https://discovery.ucl.ac.uk/id/eprint/10162981/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400024","display_name":"UCL Discovery (University College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I45129253","host_organization_name":"University College London","host_organization_lineage":["https://openalex.org/I45129253"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"     In:  Proceedings of the Third ACM International Conference on AI in Finance.  (pp. pp. 454-462).  ACM (Association for Computing Machinery) (2022)     ","raw_type":"Proceedings paper"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2202.12186","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2202.12186","pdf_url":"https://arxiv.org/pdf/2202.12186","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"score":0.75,"display_name":"No poverty","id":"https://metadata.un.org/sdg/1"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W197388315","https://openalex.org/W1527842677","https://openalex.org/W1545836098","https://openalex.org/W1554663460","https://openalex.org/W1570963478","https://openalex.org/W1964964840","https://openalex.org/W2011395874","https://openalex.org/W2012301399","https://openalex.org/W2038381734","https://openalex.org/W2047338242","https://openalex.org/W2073459066","https://openalex.org/W2080077716","https://openalex.org/W2093825590","https://openalex.org/W2120499560","https://openalex.org/W2121863487","https://openalex.org/W2125520394","https://openalex.org/W2144380346","https://openalex.org/W2150354929","https://openalex.org/W2150593711","https://openalex.org/W2151065060","https://openalex.org/W2165698076","https://openalex.org/W2170913656","https://openalex.org/W2171277043","https://openalex.org/W2320383582","https://openalex.org/W2601741161","https://openalex.org/W3136067165","https://openalex.org/W3138187898","https://openalex.org/W3151308419","https://openalex.org/W4205539948","https://openalex.org/W4205608359","https://openalex.org/W4212874762","https://openalex.org/W4224210583","https://openalex.org/W4237883889","https://openalex.org/W4247707120","https://openalex.org/W4248283403","https://openalex.org/W4283765002","https://openalex.org/W4388297464"],"related_works":["https://openalex.org/W2188500270","https://openalex.org/W2303858293","https://openalex.org/W2915512527","https://openalex.org/W51364034","https://openalex.org/W2793336762","https://openalex.org/W2091548507","https://openalex.org/W1919101720","https://openalex.org/W2622688551","https://openalex.org/W1550175370","https://openalex.org/W1990205660"],"abstract_inverted_index":{"We":[0,38],"extend":[1],"the":[2,17,34,61,64,79,99,107,150,158,164,173],"research":[3],"into":[4],"cross-sectional":[5],"momentum":[6],"trading":[7],"strategies.":[8],"Our":[9,124,142],"main":[10],"result":[11],"is":[12],"our":[13],"novel":[14],"ranking":[15,125],"algorithm,":[16],"naive":[18],"Bayes":[19],"asset":[20],"ranker":[21],"(nbar),":[22],"which":[23],"we":[24],"use":[25],"to":[26,31,48,67,110,133],"select":[27],"subsets":[28],"of":[29,60],"assets":[30,86],"trade":[32],"from":[33,43],"S&P":[35,152],"500":[36,153],"index.":[37],"perform":[39],"feature":[40],"representation":[41],"transfer":[42],"radial":[44],"basis":[45],"function":[46],"networks":[47],"a":[49,116,145,170],"curds":[50],"and":[51],"whey":[52],"(caw)":[53],"multivariate":[54],"regression":[55,75],"model":[56],"that":[57,84,147],"takes":[58],"advantage":[59],"correlations":[62],"between":[63],"response":[65],"variables":[66],"improve":[68],"predictive":[69],"accuracy.":[70],"The":[71],"nbar":[72],"ranks":[73],"this":[74],"output":[76],"by":[77,105,161],"forecasting":[78],"one-step-ahead":[80],"sequential":[81],"posterior":[82],"probability":[83],"individual":[85],"will":[87],"be":[88],"ranked":[89],"higher":[90],"than":[91],"other":[92],"portfolio":[93],"constituents.":[94],"Earlier":[95],"algorithms,":[96],"such":[97],"as":[98],"weighted":[100],"majority,":[101],"deal":[102],"with":[103,155],"nonstationarity":[104],"ensuring":[106],"weights":[108,122,136],"assigned":[109],"each":[111],"expert":[112],"never":[113],"dip":[114],"below":[115],"minimum":[117],"threshold":[118],"without":[119],"ever":[120],"increasing":[121],"again.":[123],"algorithm":[126,143],"allows":[127],"experts":[128],"who":[129],"previously":[130],"performed":[131],"poorly":[132],"have":[134],"increased":[135],"when":[137],"they":[138],"start":[139],"performing":[140],"well.":[141],"outperforms":[144,169],"strategy":[146],"would":[148],"hold":[149],"long-only":[151],"index":[154,159],"hindsight,":[156],"despite":[157],"appreciating":[160],"205%":[162],"during":[163],"test":[165],"period.":[166],"It":[167],"also":[168],"regress-then-rank":[171],"baseline,":[172],"caw":[174],"model.":[175]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
