Hopfield Networks for Asset Allocation

Carlo Nicolini, Monisha Gopalan, Jacopo Staiano and Bruno Lepri

Papers from arXiv.org

Abstract: We present the first application of modern Hopfield networks to the problem of portfolio optimization. We performed an extensive study based on combinatorial purged cross-validation over several datasets and compared our results to both traditional and deep-learning-based methods for portfolio selection. Compared to state-of-the-art deep-learning methods such as Long-Short Term Memory networks and Transformers, we find that the proposed approach performs on par or better, while providing faster training times and better stability. Our results show that Modern Hopfield Networks represent a promising approach to portfolio optimization, allowing for an efficient, scalable, and robust solution for asset allocation, risk management, and dynamic rebalancing.

Date: 2024-07
New Economics Papers: this item is included in nep-fmk and nep-mac
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