Deep Prediction Of Investor Interest: a Supervised Clustering Approach - Archive ouverte HAL
Article Dans Une Revue Algorithmic Finance Année : 2021

Deep Prediction Of Investor Interest: a Supervised Clustering Approach

Résumé

We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given timeframe. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a simulated scenario inspired by real data and then apply it to a large proprietary database from BNP Paribas Corporate and Institutional Banking.
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Dates et versions

hal-02276055 , version 1 (02-09-2019)
hal-02276055 , version 2 (12-11-2019)
hal-02276055 , version 3 (26-02-2021)

Identifiants

Citer

Baptiste Barreau, Laurent Carlier, Damien Challet. Deep Prediction Of Investor Interest: a Supervised Clustering Approach. Algorithmic Finance, 2021, 8 (3-4), pp.77-89. ⟨10.3233/AF-200296⟩. ⟨hal-02276055v3⟩
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