{"id":"https://openalex.org/W4404351592","doi":"https://doi.org/10.1145/3677052.3698684","title":"Transformers and attention-based networks in quantitative trading: a comprehensive survey","display_name":"Transformers and attention-based networks in quantitative trading: a comprehensive survey","publication_year":2024,"publication_date":"2024-11-14","ids":{"openalex":"https://openalex.org/W4404351592","doi":"https://doi.org/10.1145/3677052.3698684"},"language":"en","primary_location":{"id":"doi:10.1145/3677052.3698684","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698684","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698684","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698684","any_repository_has_fulltext":null},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5084173368","display_name":"Lucas Coelho e Silva","orcid":"https://orcid.org/0000-0002-6499-912X"},"institutions":[{"id":"https://openalex.org/I107428990","display_name":"Instituto Tecnol\u00f3gico de Aeron\u00e1utica","ror":"https://ror.org/05vh67662","country_code":"BR","type":"education","lineage":["https://openalex.org/I107428990"]},{"id":"https://openalex.org/I4210123805","display_name":"Instituto de Aeron\u00e1utica e Espa\u00e7o","ror":"https://ror.org/025n1fp68","country_code":"BR","type":"other","lineage":["https://openalex.org/I4210123805"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Lucas Coelho e Silva","raw_affiliation_strings":["Aeronautics Institute of Technology, Brazil"],"raw_orcid":"https://orcid.org/0000-0002-6499-912X","affiliations":[{"raw_affiliation_string":"Aeronautics Institute of Technology, Brazil","institution_ids":["https://openalex.org/I4210123805","https://openalex.org/I107428990"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5003120104","display_name":"Gustavo de Freitas Fonseca","orcid":null},"institutions":[{"id":"https://openalex.org/I107428990","display_name":"Instituto Tecnol\u00f3gico de Aeron\u00e1utica","ror":"https://ror.org/05vh67662","country_code":"BR","type":"education","lineage":["https://openalex.org/I107428990"]},{"id":"https://openalex.org/I4210123805","display_name":"Instituto de Aeron\u00e1utica e Espa\u00e7o","ror":"https://ror.org/025n1fp68","country_code":"BR","type":"other","lineage":["https://openalex.org/I4210123805"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Gustavo de Freitas Fonseca","raw_affiliation_strings":["Aeronautics Institute of Technology, Brazil"],"raw_orcid":"https://orcid.org/0009-0000-6802-6897","affiliations":[{"raw_affiliation_string":"Aeronautics Institute of Technology, Brazil","institution_ids":["https://openalex.org/I4210123805","https://openalex.org/I107428990"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049580636","display_name":"Paulo Andr\u00e9 Lima de Castro","orcid":"https://orcid.org/0000-0001-5515-1672"},"institutions":[{"id":"https://openalex.org/I107428990","display_name":"Instituto Tecnol\u00f3gico de Aeron\u00e1utica","ror":"https://ror.org/05vh67662","country_code":"BR","type":"education","lineage":["https://openalex.org/I107428990"]},{"id":"https://openalex.org/I4210123805","display_name":"Instituto de Aeron\u00e1utica e Espa\u00e7o","ror":"https://ror.org/025n1fp68","country_code":"BR","type":"other","lineage":["https://openalex.org/I4210123805"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Paulo Andre L. Castro","raw_affiliation_strings":["Aeronautics Institute of Technology, Brazil"],"raw_orcid":"https://orcid.org/0000-0001-5515-1672","affiliations":[{"raw_affiliation_string":"Aeronautics Institute of Technology, Brazil","institution_ids":["https://openalex.org/I4210123805","https://openalex.org/I107428990"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5084173368"],"corresponding_institution_ids":["https://openalex.org/I107428990","https://openalex.org/I4210123805"],"apc_list":null,"apc_paid":null,"fwci":8.7453,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.97254719,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"822","last_page":"830"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9937999844551086,"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"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9937999844551086,"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"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9937999844551086,"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":0.9488999843597412,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5798883438110352},{"id":"https://openalex.org/keywords/transformer","display_name":"Transformer","score":0.5130506753921509},{"id":"https://openalex.org/keywords/electrical-engineering","display_name":"Electrical engineering","score":0.20371684432029724},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.20077720284461975},{"id":"https://openalex.org/keywords/voltage","display_name":"Voltage","score":0.07058018445968628}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5798883438110352},{"id":"https://openalex.org/C66322947","wikidata":"https://www.wikidata.org/wiki/Q11658","display_name":"Transformer","level":3,"score":0.5130506753921509},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.20371684432029724},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.20077720284461975},{"id":"https://openalex.org/C165801399","wikidata":"https://www.wikidata.org/wiki/Q25428","display_name":"Voltage","level":2,"score":0.07058018445968628}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3677052.3698684","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698684","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698684","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"}],"best_oa_location":{"id":"doi:10.1145/3677052.3698684","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698684","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698684","source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4404351592.pdf"},"referenced_works_count":40,"referenced_works":["https://openalex.org/W2065125569","https://openalex.org/W2493804382","https://openalex.org/W2896457183","https://openalex.org/W2905016804","https://openalex.org/W2979826702","https://openalex.org/W3023655125","https://openalex.org/W3159554794","https://openalex.org/W3171884590","https://openalex.org/W3177318507","https://openalex.org/W3183904482","https://openalex.org/W3190695173","https://openalex.org/W3190965961","https://openalex.org/W3203924575","https://openalex.org/W4206454720","https://openalex.org/W4226200347","https://openalex.org/W4226512186","https://openalex.org/W4295838474","https://openalex.org/W4310416691","https://openalex.org/W4312055796","https://openalex.org/W4312257891","https://openalex.org/W4313057034","https://openalex.org/W4315631870","https://openalex.org/W4321766651","https://openalex.org/W4364320763","https://openalex.org/W4366976493","https://openalex.org/W4377078855","https://openalex.org/W4382203079","https://openalex.org/W4385484511","https://openalex.org/W4386959786","https://openalex.org/W4387716705","https://openalex.org/W4387746098","https://openalex.org/W4387891862","https://openalex.org/W4388994228","https://openalex.org/W4390581326","https://openalex.org/W4390749682","https://openalex.org/W4392345811","https://openalex.org/W4392779433","https://openalex.org/W4394964535","https://openalex.org/W4399810683","https://openalex.org/W4400822977"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2899084033","https://openalex.org/W2748952813","https://openalex.org/W2390279801","https://openalex.org/W4391913857","https://openalex.org/W2358668433","https://openalex.org/W4396701345","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W4396696052"],"abstract_inverted_index":{"Since":[0],"the":[1,4,34,40,65,79,129,135,157,182,187],"advent":[2],"of":[3,17,42,64,68,85,95,128,131,137,143,150,160,169,186],"transformer":[5],"neural":[6],"network":[7,56],"architecture,":[8],"there":[9],"has":[10],"been":[11],"a":[12,125,147,167],"rapid":[13],"adoption":[14],"and":[15,29,71,83,100,117,141,152,178,192,199],"investigation":[16],"its":[18],"applicability":[19],"in":[20,54,166,184],"various":[21],"domains,":[22],"such":[23],"as":[24],"computer":[25],"vision,":[26],"speech":[27],"processing,":[28,32],"natural":[30],"language":[31],"with":[33],"latter":[35],"most":[36],"notably":[37],"exemplified":[38],"by":[39],"rise":[41],"Large":[43],"Language":[44],"Models.":[45],"These":[46],"accomplishments":[47],"have":[48],"also":[49],"led":[50],"to":[51,78,123],"increased":[52],"interest":[53],"other":[55,72],"architectures":[57,162],"that":[58],"rely":[59],"on":[60],"attention":[61,153],"mechanisms,":[62,154],"one":[63],"building":[66],"blocks":[67],"transformers.":[69],"Transformers":[70],"attention-based":[73,132],"networks":[74,133],"are":[75],"being":[76],"applied":[77],"quantitative":[80,138,164],"analysis,":[81,139],"management,":[82,140],"trading":[84,96,142],"financial":[86,144],"assets,":[87],"be":[88],"it":[89],"for":[90,163],"price":[91],"movement":[92],"prediction,":[93],"discovery":[94],"strategies,":[97],"portfolio":[98],"optimization,":[99],"risk":[101],"management.":[102],"The":[103],"applications":[104,130,159],"range":[105],"across":[106],"different":[107],"asset":[108],"categories,":[109],"including":[110],"equity":[111],"markets,":[112],"foreign":[113],"exchange":[114],"pairs,":[115],"cryptocurrencies,":[116],"futures":[118],"markets.":[119],"This":[120],"survey":[121],"aims":[122],"provide":[124],"comprehensive":[126],"overview":[127,149],"within":[134],"field":[136],"assets.":[145],"After":[146,180],"brief":[148],"transformers":[151],"we":[155,195],"analyze":[156],"existing":[158],"these":[161],"finance":[165],"taxonomy":[168],"four":[170],"specializations:":[171],"Alpha":[172],"Seeking,":[173],"Risk":[174],"Management,":[175],"Portfolio":[176],"Construction,":[177],"Execution.":[179],"comparing":[181],"literature":[183],"light":[185],"research":[188,200],"problems,":[189],"modeling":[190],"approaches,":[191],"complementary":[193],"results,":[194],"discuss":[196],"current":[197],"challenges":[198],"opportunities.":[201]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":7}],"updated_date":"2026-04-29T09:16:38.111599","created_date":"2025-10-10T00:00:00"}
