Deep Prediction of Investor Interest: a Supervised Clustering Approach. (arXiv:1909.05289v1 [cs.LG])

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.