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Transfer Ranking in Finance

March 15, 2023

This material is intended only for Institutional Investors, Qualified Investors, and Investment Professionals. Not intended for retail investors or for public distribution.

How can investors construct highly accurate transfer ranking models? Daniel Poh, Dphil Student at the Oxford-Man Institute of Quantitative Finance shares his research findings.

Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity

Daniel Poh, Stephen Roberts, Stefan Zohren

Cross-sectional strategies are popular trading style in modern finance, with recent high-performing variants incorporating sophisticated neural architectures. While these strategies have been applied successfully to data-rich settings involving mature assets with long histories, deploying them on instruments with limited samples generally produce over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a novel and hybrid parameter-sharing transfer ranking model.

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