1 citations · 2 across the 3 of their papers we have counts for
4 papers
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity
Daniel Poh, Stephen Roberts, Stefan Zohren
Cross-sectional strategies are a classical and popular trading style, with recent high performing variants incorporating sophisticated neural architectures. While these strategies…
Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention
Daniel Poh, Bryan Lim, Stefan Zohren +1
The performance of a cross-sectional currency strategy depends crucially on accurately ranking instruments prior to portfolio construction. While this ranking step is traditionally…
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…
A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes
Daniel Poh, Stephen Roberts, Martin Tegnér
The non-storability of electricity makes it unique among commodity assets, and it is an important driver of its price behaviour in secondary financial markets. The instantaneous an…