Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order
  Book Data   This work proposes DeepFolio, a new model for deep portfolio management based
on data from limit order books (LOB). DeepFolio solves problems found in the
state-of-the-art for LOB data to predict price movements. Our evaluation
consists of two scenarios using a large dataset of millions of time series. The
improvements deliver superior results both in cases of abundant as well as
scarce data. The experiments show that DeepFolio outperforms the
state-of-the-art on the benchmark FI-2010 LOB. Further, we use DeepFolio for
optimal portfolio allocation of crypto-assets with rebalancing. For this
purpose, we use two loss-functions - Sharpe ratio loss and minimum volatility
risk. We show that DeepFolio outperforms widely used portfolio allocation
techniques in the literature.

7
The categories of this paper are: hep-th
3
The categories of this paper are: physics
27
The categories of this paper are: comp-gas
26
The categories of this paper are: bayes-an
29
The categories of this paper are: funct-an
14
The categories of this paper are: math-ph
13
The categories of this paper are: quant-ph
11
The categories of this paper are: hep-lat
24
The categories of this paper are: dg-ga
6
The categories of this paper are: astro-ph
2
The categories of this paper are: math
23
The categories of this paper are: solv-int
12
The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
34
The categories of this paper are: chem-ph
15
The categories of this paper are: nucl-ex