3 papers
q-fin.ST2023
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…
q-fin.PM2023
View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation
Trent Spears, Stefan Zohren, Stephen Roberts
The Black-Litterman model extends the framework of the Markowitz Modern Portfolio Theory to incorporate investor views. We consider a case where multiple view estimates, including…
q-fin.ST2020
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…