Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
2022
Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
2022
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
2022
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
2022
Forecasting COVID-19 Caseloads Using Unsupervised Embedding Clusters of Social Media Posts
2022
Neural Policy Learning of Interpretable Trading Strategies using Inductive Prior Knowledge
2021
Neural Architecture Search using Bayesian Optimisation with Weisfeiler-Lehman Kernel
2020
Foundations of system-wide financial stress testing with heterogeneous institutions
2020
Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading
2020
Predicting Sentence-Level Polarity Labels of Financial News Using Abnormal Stock Returns
2020
Unbounded-Time Safety Verification of Guarded LTI Models with Inputs by Abstract Acceleration
2020
Supply and demand shocks in the COVID-19 pandemic: an industry and occupation perspective
2020
The Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
2020
Fast Agent-Based Simulation Framework of Limit Order Books with Applications to Pro-Rata Markets and the Study of Latency Effects
2020
Use of Machine Learning Techniques to Create a Credit Score Model for Airtime Loans
2020
Propagative Broad Learning for Nonparametric Modeling of Ambient Effects on Structural Health Indicators
2020
Zero-Shot and Few-Shot Time Series Forecasting with Ordinal Regression Recurrent Neural Networks
2020
Using Sparse Gaussian Processes for Predicting Robust Inertial Confinement Fusion Implosion Yields
2019
Measuring Productivity Dispersion: a Parametric Approach Using the Lévy Alpha-stable Distribution
2019
Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model
2019
Optimal Pricing in Black Box Producer-Consumer Stackelberg Games using Revealed Preference Feedback
2019
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
2019
The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption
2019
Gradient descent in Gaussian Random Fields as a Toy Model for High-Dimensional Optimisation in Deep Learning
2019
Population-based Global Optimisation Methods for Learning Long-term Dependencies with RNNs
2019
An Accurate Maximum Entropy Method for Efficient Approximations in Large-Scale Machine Learning
2019
How Does Mini-Batching Affect Curvature Information for Second Order Deep Learning Optimization
2019
Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling
2019
Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction
2019
Automated Formal Synthesis of Provably Safe Digital Controllers for Continuous Plants
2019
Are all Insider Sales Created Equal? First Evidence from Supplementary Disclosures on SEC Filings
2019
Online Optimisation for Online Learning and Control – From No-Regret to Generalised Error Convergence
2019
Efficiency Through Uncertainty: Scalable Formal Synthesis for Stochastic Hybrid Systems
2019
How well do Experience Curves Predict Technological Progress? A Method for Making Distributional Forecasts
2018
The Robust Pricing – Hedging Duality for American Options in Discrete Time Financial Markets
2018
The Root Solution to the Multi-Marginal Embedding Problem: An Optimal Stopping and Time-Reversal Approach
2018
Robust Pricing and Hedging Under Trading Restrictions and the Emergence of Local Martingale Models
2018
A Bayesian Optimization Approach to Compute the Nash Equilibria of Potential Games using Bandit Feedback
2018
MOrdRed: Memory-based Ordinal Regression Deep Neural Networks for Time Series Forecasting
2018
Bayesian Nonparametrics and Feedback-Linearisation of Discretised Conrol-Affine Systems
2018
Optimization, Fast and Slow: Optimally Switching Between Local and Bayesian Optimization
2018
Linear Quadratic Regulation of Polytopic Time-inhomogeneous Markov Jump Linear Systems
2018
Nonlinear Set Membership Regression with Adaptive Hyper-Parameter Estimation for Online Learning and Control
2018
Identifying Sources and Sinks in the Presence of Multiple Agents with Gaussian Process Vector Calculus
2018
Learning Against Non-Stationary Agents with Opponent Modelling and Deep Reinforcement Learning
2018
Impact of Solar Panels and Cooling Devices on Frequency Control after a Generation Loss Incident
2018
Do U.S. Analysts Improve the Local Information Environment of Cross-Listed Stocks?
2018
Lazily Adapted Constant Kinky Inference for Nonparametric Regression and Model-Reference Adaptive Control
2018
Methods for Quantifying Effects of Social Unrest Using Credit Card Transaction Data
2018
Social Bridges in Urban Purchase Behaviour ACM Transactions on Intelligent Systems and Technology
2018
Super-multiplicativity and a lower bound for the decay of the signature of a path of finite length
2018
Gaussian Process Regression for In-situ Capacity Estimation of Lithium-ion Batteries
2018
Rotation-free Online Handwritten Character Recognition using Dyadic Path Signature Features, Hanging Normalization, and Deep Neural Network
2018
Detecting early signs of depressive and manic episodes in patients with bipolar disorder using the signature-based model
2017
Battery Capacity Estimation from Partial-Charging Data Using Gaussian Process Regression
2017
The Numeraire Property and Long-Term Growth Optimality for Drawdown-Constrained Investments
2017
The Fundamental Theorem of Derivatives Trading – Exposition, Extensions and Experiments
2017
Introducing the HFTE Model: A Multi-Species Predator-Prey Ecosystem for High Frequency Quantitative Financial Strategies
2017
High-Dimensional Time Series Prediction Using Kernel-Based Koopman Mode Regression
2017
Portfolio Optimization in the Context of Cointelated Pairs: Stochastic Differential Equation vs. Machine Learning Approach
2017
Deciphering Price Formation in the High Frequency Domain: Systems & Evolutionary Dynamics as Keys for Construction of the High Frequency Trading Ecosystem
2017
A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation Towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR
2017
Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization
2017
Cost-Sensitive Detection with Variational Autoencoders for Environmental Acoustic Sensing
2017
Improving Photometric Redshift Estimation Using GPz: size information, post processing and improved photometry.
2017
Bayesian Heatmaps: Probabilistic Classification with Multiple Unreliable Information Sources
2017
A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes
2017
Formal Control Synthesis via Simulation Relations and Behavioural Theory for Discrete-Time Descriptor Systems
2017
Bayesian Optimisation of Gaussian Processes for Identifying the Deteriorating Patient
2017
Identifying Sources of Discrimination Risk in the Life Cycle of Machine Intelligence Applications Under New European Union Regulations
2017
A signature-based machine learning model for bipolar disorder and borderline personality disorder
2017
Extracting Predictive Information from Heterogeneous Data Streams Using Gaussian Processes
2016
The Statistical Significance of Multivariate Hawkes Processes Fitted to Limit Order Book Data
2016
Deviations in Expected Price Impact for Small Transaction Volumes Under Fee Restructuring
2016
Using Real-Time Cluster Configurations of Streaming Asynchronous Features as Online State Decriptors in Financial Markets
2016
High-Speed Detection of Emergent Market Clustering via an Unsupervised Parallel Genetic Algorithm
2016
GPz: Non-Stationary Sparse Gaussian Processes for Heteroscedastic Uncertainty Estimation in Photometric Redshift
2016
Speculative Trading of Electricity Contracts in Interconnected Locations Energy Economics
2016