Deep Momentum Network
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks — a hybrid approach which injects deep learning based trading rules into the volatility scaling framework of time series momentum. The model also simultaneously learns both trend estimation and position sizing in a data-driven manner, with networks directly trained by optimising the Sharpe ratio of the signal. Backtesting on a portfolio of 88 continuous futures contracts, we demonstrate that the Sharpe-optimised LSTM improved traditional methods by more than two times in the absence of transactions costs, and continue outperforming when considering transaction costs up to 2-3 basis points. To account for more illiquid assets, we also propose a turnover regularisation term which trains the network to factor in costs at run-time. …

Linear Mixed Model (LMM)
A statistical model containing both fixed effects and random effects, that is: mixed effects. LMM is a kind of regression analysis. …

Augmented RNN (ARNN)
The recent adoption of recurrent neural networks (RNNs) for session modeling has yielded substantial performance gains compared to previous approaches. In terms of context-aware session modeling, however, the existing RNN-based models are limited in that they are not designed to explicitly model rich static user-side contexts (e.g., age, gender, location). Therefore, in this paper, we explore the utility of explicit user-side context modeling for RNN session models. Specifically, we propose an augmented RNN (ARNN) model that extracts high-order user-contextual preference using the product-based neural network (PNN) in order to augment any existing RNN session model. Evaluation results show that our proposed model outperforms the baseline RNN session model by a large margin when rich user-side contexts are available. …

Totally-Looks-Like (TTL)
Perceptual judgment of image similarity by humans relies on a rich internal representations ranging from low-level features to high-level concepts, scene properties and even cultural associations. Existing methods and datasets attempting to explain perceived similarity use stimuli which arguably do not cover the full breadth of factors that affect human similarity judgments, even those geared toward this goal. We introduce a new dataset dubbed \textbf{Totally-Looks-Like} (TTL) after a popular entertainment website, which contains images paired by humans as being visually similar. The dataset contains 6016 image-pairs from the wild, shedding light upon a rich and diverse set of criteria employed by human beings. We conduct experiments to try to reproduce the pairings via features extracted from state-of-the-art deep convolutional neural networks, as well as additional human experiments to verify the consistency of the collected data. Though we create conditions to artificially make the matching task increasingly easier, we show that machine-extracted representations perform very poorly in terms of reproducing the matching selected by humans. We discuss and analyze these results, suggesting future directions for improvement of learned image representations. …