Date Written: July 28, 2026
Market Making With Fads, Informed, and Uninformed Traders
- Emilio Barucci
- Adrien Mathieu
- Leandro Sánchez-Betancourt
Papers
Welcome to the Oxford-Man Institute (OMI) Research Papers repository. This collection showcases our leading interdisciplinary research at the intersection of quantitative finance, machine learning, and data science.
Date Written: January 23, 2025
Anonymity, Signaling, and Collusion in Limit Order Books
- Álvaro Cartea
- Patrick Chang
- Rob Graumans
Date Written: December 17, 2024
Optimal execution and speculation with trade signals
- Peter Bank
- Álvaro Cartea
- Laura Körber
Date Written: November 12, 2024
Strategic Bonding Curves in Automated Market Makers
- Álvaro Cartea
- Fayçal Drissi
- Leandro Sánchez-Betancourt
- David Šiška
- Łukasz Szpruch
Date Written: July 31, 2024
Deep Learning for Options Trading: An End-To-End Approach
- Wee Ling Tan
- Steve Roberts
- Stefan Zohren
Date Written: November 27, 2023
Transformers Can Solve Non-Linear and Non-Markovian Filtering Problems in Continuous Time For Conditionally Gaussian Signals
- Blanka Horvath
- Anastasis Kratsios
- Yannick Limmer
- Xuwei Yang
Date Written: November 27, 2023
Deep Kalman Filters Can Filter
- Blanka Horvath
- Anastasis Kratsios
- Yannick Limmer
- Xuwei Yang
Date Written: November 10, 2023
Multireference Alignment for Lead-Lag Detection in Multivariate Time Series and Equity Trading
- Danni Shi
- Mihai Cucuringu
- Jan-Peter Calliess
Date Written: November 08, 2023
Detecting Lead-Lag Relationships in Stock Returns and Portfolio Strategies
- Álvaro Cartea
- Mihai Cucuringu
- Qi Jin
Date Written: November 07, 2023
Detecting Toxic Flow
- Álvaro Cartea
- Gerardo Durán Martin
- Leandro Sánchez-Betancourt
Date Written: October 28, 2023
Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
- Álvaro Cartea
- Fayçal Drissi
- Marcello Monga
Date Written: September 25, 2023
Correlation Matrix Clustering for Statistical Arbitrage Portfolios
- Álvaro Cartea
- Mihai Cucuringu
- Qi Jin
Date Written: September 20, 2023
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
- Yichi Zhang
- Mihai Cucuringu
- Alexander Y. Shestopaloff
- Stefan Zohren
Date Written: August 22, 2023
Network Momentum across Asset Classes
- Xingyue Pu
- Stephen Roberts
- Xiaowen Dong
- Stefan Zohren
Date Written: July 07, 2023
Decentralised Finance and Automated Market Making: Execution and Speculation
- Álvaro Cartea
- Fayçal Drissi
- Marcello Monga
Date Written: June 28, 2023
Bandits for Algorithmic Trading with Signals
- Álvaro Carteam
- Fayçal Drissi
- Pierre Osselin
Date Written: June 26, 2023
Robust Hedging GANs
- Yannick Limmer
- Blanka Horvath
Date Written: June 08, 2023
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
- Alvaro Arroyo
- Álvaro Cartea
- Fernando Moreno-Pino
- Stefan Zohren
Date Written: May 31, 2023
Mind Your Language: Market Responses to Central Bank Speeches
- Maximilian Ahrens
- Deniz Erdemlioglu
- Michael McMahon
- Christopher J. Neely
- Xiye Yang
Date Written: May 25, 2023
Automated Market Makers Designs Beyond Constant Functions
- Álvaro Cartea
- Fayçal Drissi
- Leandro Sánchez-Betancourt
- David Šiška
- Łukasz Szpruch
Date Written: May 12, 2023
Statistical predictions of trading strategies in electronic markets
- Álvaro Cartea
- Samuel N. Cohen
- Rob Graumans
- Saad Labyad
- Leandro Sánchez-Betancourt
- Leon van Veldhuijzen
Date Written: April 22, 2023
Dynamic Portfolio Selection under Transaction Costs and Signal Decay
- Nick Firoozye
- Vincent Tan
- Stefan Zohren
Date Written: April 04, 2023
Optimal Stopping via Distribution Regression: A Higher Rank Signature Approach
- Blanka Horvath
- Maud Lemercier
- Chong Liu
- Terry Lyons
- Cristopher Salvi
Date Written: March 21, 2023
Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers
- Álvaro Cartea
- Fayçal Drissi
- Marcello Mongo
Date Written: March 06, 2023
Forecasting Realized Volatility with Spillover Effects: Perspectives from Graph Neural Networks
- Chao Zhang
- Xingyue (Stacy) Pu
- Mihai Cucuringu
- Xiaowen Dong
Date Written: February 20, 2023
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
- Wee Ling Tan
- Stephen Roberts
- Stefan Zohren
Date Written: January 31, 2023
View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation
- Trent Spears
- Stefan Zohren
- Stephen Roberts
Date Written: January 19, 2023
Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
- Milena Vuletić
- Mihai Cucuringu
- Felix Prenzel
Date Written: December 27, 2022
DeFi: Data-Driven Characterisation of Uniswap V3 Ecosystem & an Ideal Crypto Law for Liquidity Pools
- Deborah Miori
- Mihai Cucuringu
Date Written: December 13, 2022
Algorithmic Collusion and a Folk Theorem from Learning with Bounded Rationality
- Álvaro Cartea
- Patrick Chang
- José Penalva
- Harrison Waldon
Date Written: November 22, 2022
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
- Álvaro Cartea
- Fayçal Drissi
- Marcello Monga
Date Written: November 21, 2022
Graph-based Methods for Forecasting Realized Covariances
- Chao Zhang
- Xingyue (Stacy) Pu
- Mihai Cucuringu
- Xiaowen Dong
Date Written: November 15, 2022
Brokers and Informed Traders: Dealing With Toxic Flow and Extracting Trading Signals
- Álvaro Cartea
- Leandro Sánchez-Betancourt
Date Written: August 04, 2022
The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games
- Álvaro Cartea
- Patrick Chang
- José Penalva
- Harrison Waldon
Date Written: June 29, 2022
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- Anthony Coache
- Sebastian Jaimungal
- Álvaro Cartea
Date Written: May 26, 2022
AI Driven Liquidity Provision in OTC Financial Markets
- Álvaro Cartea
- Patrick Chang
- Mateusz Mroczka
- Roel C. A. Oomen
Date Written: May 11, 2022
Algorithms and Supracompetitive Prices in Electronic Markets: The Impact of Tick Size
- Álvaro Cartea
- Patrick Chang
- José Penalva
Date Written: March 29, 2022
Graph Similarity Learning for Change-Point Detection in Dynamic Networks
- Deborah Sulem
- Henry Kenlay
- Mihai Cucuringu
- Xiaowen Dong
Date Written: February 22, 2022
Canonical Portfolios: Optimal Asset and Signal Combination
- Nikan Firoozye
- Vincent Tan
- Stefan Zohren
Date Written: February 08, 2022
Volatility Forecasting with Machine Learning and Intraday Commonality
- Chao Zhang
- Yihuang Zhang
- Mihai Cucuringu
- Zhongmin Qian
Date Written: December 16, 2021
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
- Kieran Wood
- Sven Giegerich
- Stephen Roberts
- Stefan Zohren
Date Written: November 20, 2021
Gradient-based estimation of linear Hawkes processes with general kernels
- Álvaro Cartea
- Samuel N. Cohen
- Saad Labyad
Date Written: May 28, 2021
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
- Kieran Wood
- Stephen Roberts
- Stefan Zohren
Date Written: May 21, 2021
Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units
- Zihao Zhang
- Stefan Zohren
Date Written: May 20, 2021
Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention
- Daniel Poh
- Bryan Lim
- Stefan Zohren
- Stephen Roberts
Date Written: April 02, 2021
Strategic Execution Trajectories
- Giuliana Bordigoni
- Alessio Figalli
- Anthony Ledford
- Philipp Ustinov
Date Written: March 25, 2021
Deep Reinforcement Learning for Algorithmic Trading
- Álvaro Cartea
- Sebastian Jaimungal
- Leandro Sánchez-Betancourt
Date Written: February 17, 2021
Deep Learning for Market by Order Data
- Zihao Zhang
- Bryan Lim
- Stefan Zohren
Date Written: December 10, 2020
Estimation of Large Financial Covariances: A Cross-Validation Approach
- Vincent Tan
- Stefan Zohren
Date Written: November 05, 2020
Sentiment Correlation in Financial News Networks and Associated Market Movements
- Xingchen Wan
- Jie Yang
- Slavi Marinov
- Jan-Peter Calliess
- Stefan Zohren
- Xiaowen Dong
Date Written: April 28, 2020
Time Series Forecasting With Deep Learning: A Survey
- Bryan Lim
- Stefan Zohren
Date Written: April 09, 2020
Adaptive Robust Control in Continuous-Time
- Theerawat Bhudisaksang
- Álvaro Cartea
Date Written: February 18, 2020
Online Drift Estimation for Jump-Diffusion Processes
- Theerawat Bhudisaksang
- Álvaro Cartea
Date Written: November 22, 2019
Deep Reinforcement Learning for Trading
- Zihao Zhang
- Stefan Zohren
- Stephen Roberts
Date Written: June 11, 2019
Extending Deep Learning Models for Limit Order Books to Quantile Regression
- Zihao Zhang
- Stefan Zohren
- Stephen Roberts
Date Written: April 19, 2019
Enhancing Time Series Momentum Strategies Using Deep Neural Networks
- Bryan Lim
- Stefan Zohren
- Stephen Roberts
Date Written: November 25, 2018
BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
- Zihao Zhang
- Stefan Zohren
- Stephen Roberts