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Quantitative Finance Volume 20, 2020 - Issue 4
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Research Papers

Index tracking through deep latent representation learning

Saejoon KimDepartment of Computer Science and Engineering, Sogang University, 35 Baekbeom-ro, Mapo-gu, Seoul04107, KoreaCorrespondence[email protected]
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Soong KimDepartment of Computer Science and Engineering, Sogang University, 35 Baekbeom-ro, Mapo-gu, Seoul04107, KoreaView further author information
Pages 639-652 | Received 24 Jan 2019, Accepted 11 Oct 2019, Published online: 18 Nov 2019

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Saejoon Kim & Hyuksoo Kim. (2022) Deep asset allocation for trend following investing. Journal of Experimental & Theoretical Artificial Intelligence 34:4, pages 599-619.
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Saejoon Kim. (2021) Deep time series forecasting for enhanced index tracking. Applied Economics 53:17, pages 1916-1934.
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Georgios D. Karatzinis, Nikolaos A. Apostolikas, Yiannis S. Boutalis & George A. Papakostas. (2023) Fuzzy Cognitive Networks in Diverse Applications Using Hybrid Representative Structures. International Journal of Fuzzy Systems.
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Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho. (2023) Using GAN-generated market simulations to guide genetic algorithms in index tracking optimization. Applied Soft Computing, pages 110587.
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Pieter M. Van Staden, Peter A. Forsyth & Yuying Li. (2023) Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM Journal on Financial Mathematics 14:2, pages 407-451.
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Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho. (2023) A systematic literature review on solution approaches for the index tracking problem. IMA Journal of Management Mathematics.
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Zhiwen Dai & Lingfei Li. (2023) Deep Learning for Enhanced Index Tracking. SSRN Electronic Journal.
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林 马. (2023) Two-Step Estimation Sparse Index Tracking Based on Quantile Regression. Operations Research and Fuzziology 13:04, pages 3527-3535.
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Roberto Casarin, Stefano Grassi, Francesco Ravazzolo & Herman K. van Dijk. (2023) A flexible predictive density combination for large financial data sets in regular and crisis periods. Journal of Econometrics, pages 105370.
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Nadia Astria Savitri & Deni Saepudin. (2022) Deep Learning Implementation for Portfolio Optimization Index Tracking LQ45. Deep Learning Implementation for Portfolio Optimization Index Tracking LQ45.
Kei Nakagawa & Yoshiyuki Suimon. (2022) Inflation rate tracking portfolio optimization method: Evidence from Japan. Finance Research Letters 49, pages 103130.
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Codruę Florin Ivaşcu. (2022) Heuristic methods for stock selection and allocation in an index tracking problem. Algorithmic Finance 9:3-4, pages 103-119.
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Yuyeong Kwak, Junho Song & Hongchul Lee. (2021) Neural network with fixed noise for index-tracking portfolio optimization. Expert Systems with Applications 183, pages 115298.
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Helong Li, Qin Huang & Baiyi Wu. (2021) Improving the naive diversification: An enhanced indexation approach. Finance Research Letters 39, pages 101661.
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Szu-Hao Huang, Yu-Hsiang Miao & Yi-Ting Hsiao. (2021) Novel Deep Reinforcement Algorithm With Adaptive Sampling Strategy for Continuous Portfolio Optimization. IEEE Access 9, pages 77371-77385.
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Tommi Huotari, Jyrki Savolainen & Mikael Collan. (2020) Deep Reinforcement Learning Agent for S&P 500 Stock Selection. Axioms 9:4, pages 130.
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Chi Zhang, Shuang Liang, Fei Lyu & Libing Fang. (2020) Stock-Index Tracking Optimization Using Auto-Encoders. Frontiers in Physics 8.
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Ren-Raw Chen. (2022) Index Tracking: A Stock Selection Model using Particle Swarm Optimization. SSRN Electronic Journal.
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