150 citations · 416 across the 41 of their papers we have counts for
6 papers · 1 filter
Building Cross-Sectional Systematic Strategies By Learning to Rank
Daniel Poh, Bryan Lim, Stefan Zohren +1
The success of a cross-sectional systematic strategy depends critically on accurately ranking assets prior to portfolio construction. Contemporary techniques perform this ranking s…
Sentiment Correlation in Financial News Networks and Associated Market Movements
Xingchen Wan, Jie Yang, Slavi Marinov +3
In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement…
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…
Learning Rates as a Function of Batch Size: A Random Matrix Theory Approach to Neural Network Training
Diego Granziol, Stefan Zohren, Stephen Roberts
We study the effect of mini-batching on the loss landscape of deep neural networks using spiked, field-dependent random matrix theory. We demonstrate that the magnitude of the extr…
Deep Learning for Portfolio Optimization
Zihao Zhang, Stefan Zohren, Stephen Roberts
We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us…
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…