2 papers
q-fin.TR2020
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…
q-fin.RM2019
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…