From the description of a talk 'March 16 Talk, "Deep Learning for Sequences in Quantitative Finance" with David Kriegman of UCSD and Two Sigma', an excellent summary:
The quantitative investment process can be viewed as one that takes in raw data at one end and executes trades that buy and sell financial instruments at the other end. The process naturally decomposes into steps of feature extraction, forecasting the returns of individual instruments, portfolio allocation to decide quantities to trade, and trading execution. Many of the steps in this process are readily expressed as machine learning problems that can be addressed using deep learning sequence methods.
