Correlation Matrix Clustering for Statistical Arbitrage Portfolios
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Department of Statistics; The Alan Turing Institute
Qi Jin, University of Oxford – Oxford Man Institute of Quantitative Finance
Multireference Alignment for Lead-Lag Detection in Multivariate Time Series and Equity Trading
Danni Shi, University of Oxford – Oxford-Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Department of Statistics; The Alan Turing Institute
Jan-Peter Calliess, Oxford-Man Institute of Quantitative Finance
Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance
Marcello Monga, University of Oxford – Oxford Man Institute of Quantitative Finance
Network Momentum across Asset Classes
Xingyue (Stacy) Pu, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Xiaowen Dong, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Bandits for Algorithmic Trading with Signals
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance, Université Paris1 Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)
Pierre Osselin, University of Oxford
SSRN
Robust Hedging GANs
Yannick Limmer, University of Oxford – Oxford Man Institute of Quantitative Finance
Blanka Horvath, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Mind Your Language: Market Responses to Central Bank Speeches
Maximilian Ahrens, University of Oxford – Oxford Man Institute of Quantitative Finance
Deniz Erdemlioglu, IESEG School of Management
Michael McMahon, University of Oxford
Christopher J. Neely, Federal Reserve Bank of St. Louis – Research Division
Xiye Yang, Rutgers, The State University of New Jersey – Department of Economics
SSRN
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Álvaro Arroyo, University of Oxford – Oxford Man Institute of Quantitative Finance
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fernando Moreno-Pino, Universidad Carlos III, Madrid
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Optimal execution and speculation with trade signals
Peter Bank, Technische Universität Berlin
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Laura Korber, Technische Universität Berlin
arXiv
Automated Market Makers Designs Beyond Constant Functions
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance, Université Paris1 Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)
Leandro Sánchez Betancourt, King’s College London
David Siska, University of Edinburgh
Lukasz Szpruch, University of Edinburgh
SSRN
Statistical Predictions of Trading Strategies in Electronic Markets
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Samuel Cohen, University of Oxford – Oxford Man Institute of Quantitative Finance
Rob Graumans, AFM
Saad Labyad, University of Oxford – Oxford Man Institute of Quantitative Finance
Leandro Sánchez Betancourt, King’s College London
Leon van Veldhuijzen, AFM
SSRN
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Oxford Man Institute of Quantitative Finance
Alex Shestopaloff, Queen Mary University of London
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Dynamic Portfolio Selection under Transaction Costs and Signal Decay
Nick Firoozye, University College London – Department of Computer Science
Vincent Tan, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Optimal Stopping via Distribution Regression: A Higher Rank Signature Approach
Blanka Horvath, University of Oxford – Oxford Man Institute of Quantitative Finance
Maud Lemercier, University of Oxford
Cong Liu, University of Oxford
Terry Lyons, University of Oxford
Christopher Salvi, Imperial College London
arXiv
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
Wee Ling Tan, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Execution and Statistical Arbitrage with Signals in Multiple Automated Market Makers
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance, Université Paris1 Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)
Marcello Monga, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Graph Neural Networks for Forecasting Realized Volatility with Nonlinear Spillover Effects
Chao Zhang, University of Oxford – Department of Statistics
Xingyue (Stacy) Pu, University of Oxford – Oxford Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Department of Statistics
Xiaowen Dong, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation
Trent Spears, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
Milena Vuletic, University of Oxford – Department of Statistics
Felix Prenzel, University of Oxford – Mathematical Institute
Mihai Cucuringu, University of Oxford – Department of Statistics
SSRN
Learning to Collude: A Folk Theorem for Algorithms
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Patrick Chang, University of Oxford – Oxford Man Institute of Quantitative Finance
José Penalva, Universidad Carlos III, Madrid – Department of Business Administration
Harrison Waldon, University of Texas at Austin
SSRN
Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance, Université Paris1 Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)
Marcello Monga, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
DeFi: Data-Driven Characterisation of Uniswap V3 Ecosystem & and Ideal Crypto Law for Liquidity Pools
Deborah Miori, University of Oxford – Department of Statistics
Mihai Cucuringu, University of Oxford – Department of Statistics
SSRN
Volatility Forecasting with Machine Learning and Intraday Commonality
Chao Zhang, University of Oxford – Department of Statistics
Yihuang Zhang, University of Oxford – Mathematical Institute
Mihai Cucuringu, University of Oxford – Department of Statistics
Zhongmin Qian, University of Oxford – Mathematical Institute
SSRN
Graph-based Methods for Forecasting Realized Covariances
Chao Zhang, University of Oxford – Department of Statistics
Xingyue (Stacy) Pu, University of Oxford – Oxford Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Department of Statistics
Xiaowen Dong, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
Kieran Wood, University of Oxford – Oxford Man Institute of Quantitative Finance
Sven Giegerich, QuantCo, Berlin
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Brokers and Informed Traders: dealing with toxic flow and extracting trading signals
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Leandro Sànchez-Betancourt, King’s College London
SSRN
The Algorithmic Learning Equations: Evolving Strategies in Dynamic Games
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Patrick Chang, University of Oxford – Oxford Man Institute of Quantitative Finance
José Penalva, Universidad Carlos III, Madrid – Department of Business Administration
Harrison Waldon, University of Texas at Austin
SSRN
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Anthony Coache, University of Toronto
Sebastian Jaimungal, University of Toronto
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Decentralised Finance and Automated Market Making: Execution and Speculation
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Fayçal Drissi, University of Oxford – Oxford Man Institute of Quantitative Finance, Université Paris1 Panthéon-Sorbonne – Centre d’Economie de la Sorbonne (CES)
Marcello Monga, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Graph Similarity Learning for Change-Point Detection in Dynamic Networks
Deborah Sulem, University of Oxford – Department of Statistics
Henry Kenlay, University of Oxford – Oxford Man Institute of Quantitative Finance
Mihai Cucuringu, University of Oxford – Department of Statistics
Xiaowen Dong, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv
Algorithmic Collusion in Electronic Markets: The Impact of Tick Size
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Patrick Chang, University of Oxford – Oxford Man Institute of Quantitative Finance
José Penalva, Universidad Carlos III, Madrid – Department of Business Administration
SSRN
AI Driven Liquidity Provision in OTC Financial Markets
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Patrick Chang, University of Oxford – Oxford Man Institute of Quantitative Finance
Mateusz Mroczka, University of Oxford
Roel Oomen, Deutsche Bank AG (London), London School of Economics
Taylor & Francis Online
Canonical Portfolios: Optimal Asset and Signal Combination
Vincent Tan, University of Oxford – Oxford Man Institute of Quantitative Finance
Nick Firoozye, University College London – Department of Computer Science
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2202.10817 .10430v2
Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention
Daniel Poh, University of Oxford – Oxford Man Institute of Quantitative Finance
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Journal of Financial Data Science 2022
Gradient-based estimation of linear Hawkes processes with general kernels
Álvaro Cartea, University of Oxford – Oxford Man Institute of Quantitative Finance
Samuel N. Cohen, Mathematical Institute, University of Oxford
Saad Labyad, Mathematical Institute, Oxford Man Institute of Quantitative Finance, University of Oxford
SSRN
Strategic Execution Trajectories
Giuliana Bordigoni, Man AHL
Alessio Figalli, ETH Zurich
Anthony Ledford, Man AHL
Philipp Ustinov, Man Group plc
SSRN
Adaptive Robust Control in Continuous-Time
Theerawat Bhudiskaksang, Mathematical Institute, University of Oxford
Álvaro Cartea, University of Oxford -Oxford Man Institute of Quantitative Finance
Forthcoming SIAM Journal on Control and Optimization
Online Drift Estimation for Jump-Diffusion Processes
Theerawat Bhudiskaksang, Mathematical Institute, University of Oxford
Álvaro Cartea, University of Oxford -Oxford Man Institute of Quantitative Finance
Bernoulli, 27 (4) 2494 – 2518, November 2021
Deep Reinforcement Learning for Algorithmic Trading
Álvaro Cartea, University of Oxford -Oxford Man Institute of Quantitative Finance
Sebastian Jaimungal, University of Toronto, Department of Statistics
Leandro Sánchez-Betancourt, Mathematical Institute, University of Oxford
In Machine Learning in Financial Markets: A guide to contemporary practices. Edited by C.-A. Lehalle and A. Capponi. Cambridge University Press.
Zihao Zhang. University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2105.10430v2
Deep Learning for Market by Order Data
Zihao Zhang. University of Oxford – Oxford Man Institute of Quantitative Finance
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2102.08811v2
Building Cross-Sectional Systematic Strategies By Learning to Rank
Daniel Poh, University of Oxford – Oxford Man Institute of Quantitative Finance
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Journal of Financial Data Science 2021
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
Kieran Wood, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2105.13727v2
Quantifying long-term market impact
Campbell R. Harvey, Duke University, adviser to Man Group plc
Anthony Ledford, Man AHL
Emidio Sciulli, Man AHL
Philipp Ustinov, Man Group plc
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Realised Volatility Forecasting: Machine Learning via Financial Word Embedding
Eghbal Rahimikia, University of Manchester – Alliance Manchester Business School
Stefan Zohren, University of Oxford – Oxford-Man Institute of Quantitative Finance
Ser-Huang Poon, Alliance Manchester Business School, University of Manchester; Alan Turing Institute
SSRN
Daniel Poh, University of Oxford – Oxford Man Institute of Quantitative Finance
Bryan Lim, University of Oxford -Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach
Vincent W. C. Tan, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2012.05757v1
Sentiment Correlation in Financial News Networks and Associated Market Movements
Xingchen Wan, University of Oxford – Oxford Man Institute of Quantitative Finance
Jie Yang, School of Public Health, Zhejiang University, China, Harvard Medical School, Harvard University, USA
Slavi Marinov, Man AHL
Jan-Peter Calliess, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Xiaowen Dong, University of Oxford – Oxford Man Institute of Quantitative Finance
Trent Spears, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Deep Learning for Portfolio Optimisation
Zihao Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Time Series Forecasting With Deep Learning: A Survey
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:2004.13408v2
Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN
Deep Reinforcement Learning for Trading
Zihao Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:1911.10107v1
Extending Deep Learning Models for Limit Order Books to Quantile Regression
Zihao Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:1906.04404v1
Enhancing Time Series Momentum Strategies Using Deep Neural Networks
Bryan Lim, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:1904.04912v3
BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
Zihao Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
arXiv:1811.10041v1
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
Zihao Zhang, University of Oxford – Oxford Man Institute of Quantitative Finance
Stefan Zohren, University of Oxford – Oxford Man Institute of Quantitative Finance
Stephen Roberts, University of Oxford – Oxford Man Institute of Quantitative Finance
SSRN