67 citations · 147 across the 28 of their papers we have counts for
3 papers · 1 filter
On statistical arbitrage under a conditional factor model of equity returns
Trent Spears, Stefan Zohren, Stephen Roberts
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space fr…
Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading
Trent Spears, Stefan Zohren, Stephen Roberts
In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across tra…
Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio
Bryan Lim, Stefan Zohren, Stephen Roberts
Detecting changes in asset co-movements is of much importance to financial practitioners, with numerous risk management benefits arising from the timely detection of breakdowns in…