3 papers
q-fin.PM2023
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
Wee Ling Tan, Stephen Roberts, Stefan Zohren
We introduce Spatio-Temporal Momentum strategies, a class of models that unify both time-series and cross-sectional momentum strategies by trading assets based on their cross-secti…
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…
q-fin.PM2018
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts +1
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the pro…