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Enhancing Time Series Momentum Strategies Using Deep Neural Networks

https://doi.org/10.2139/ssrn.3369195
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27/27 checkable references clean · checked 2026-10-18

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

22 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 27 checked references that resolve
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Time series momentum
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A Century of Evidence on Trend-Following Investing
resolves10.21314/JOIS.2014.043
Two centuries of trend following
resolves10.2139/ssrn.2695101
Dissecting Investment Strategies in the Cross Section and Time Series
resolves10.2469/faj.v72.n3.3
Which Trend Is Your Friend?
resolves10.2139/ssrn.2289097
Trend Filtering Methods for Momentum Strategies
resolves10.1016/j.finmar.2016.05.003
Time series momentum and volatility scaling
resolves10.2139/ssrn.3175538
The Impact of Volatility Targeting
resolves10.1109/tsp.2019.2907260
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
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Representation Learning: A Review and New Perspectives
resolves10.1016/j.ijforecast.2018.06.001
The M4 Competition: Results, findings, conclusion and way forward
resolves10.1145/3278312
Proceedings of the 2018 International Conference on Machine Learning and Machine Intelligence
resolves10.3386/w25398
Empirical Asset Pricing via Machine Learning
resolves10.1016/s0378-4266(03)00289-9
Call for Papers: 17th Australasian Conference
resolves10.1080/14697688.2018.1563707
Enhancing the momentum strategy through deep regression
resolves10.2139/ssrn.3141294
Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning
resolves10.1371/journal.pone.0180944
A deep learning framework for financial time series using stacked autoencoders and long-short term memory
resolves10.1016/j.jfineco.2014.11.010
Momentum has its moments
resolves10.1016/j.jfineco.2015.12.002
Momentum crashes
resolves10.2139/ssrn.3042173
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
resolves10.2307/2324484
The Kelly Criterion and the Stock Market
resolves10.3905/jpm.1994.409501
The Sharpe Ratio
resolves10.1111/j.1540-6261.1993.tb04702.x
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
resolves10.1111/0022-1082.00342
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
resolves10.1162/neco.1997.9.8.1735
Long Short-Term Memory
resolves10.1038/nature24270
Mastering the game of Go without human knowledge
resolves10.3905/jfds.2019.1.1.159
Dynamic Replication and Hedging: <i>A Reinforcement Learning Approach</i>
The 22 references without a DOI — listed, not checked
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no DOI — not checkedTime-series extreme event forecasting with neural networks at uber
no DOI — not checkedDisease-atlas: Navigating disease trajectories using deep learning
no DOI — not checkedref13
no DOI — not checkedTensorFlow: Large-scale machine learning on heterogeneous systems
no DOI — not checkedAutomatic differentiation in PyTorch
no DOI — not checkedref18
no DOI — not checkedref19
no DOI — not checkedDeep state space models for time series forecasting
no DOI — not checkedA disentangled recognition and nonlinear dynamics model for unsupervised learning
no DOI — not checkedGenerative adversarial nets
no DOI — not checkedThresholded ConvNet ensembles: Neural networks for technical forecasting
no DOI — not checkedMomentum strategies offer a positive point of skew
no DOI — not checkedref34
no DOI — not checkedref39
no DOI — not checkedWaveNet: A generative model for raw audio
no DOI — not checkedref45
no DOI — not checkedAdam: A method for stochastic optimization
no DOI — not checkedDropout: A simple way to prevent neural networks from overfitting
no DOI — not checkedA theoretically grounded application of dropout in recurrent neural networks
no DOI — not checkedref49
no DOI — not checkedref50
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. If Crossref’s record marks the work itself retracted, withdrawn, or removed, the badge says so instead of showing clean. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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