7 citations · 8 across the 3 of their papers we have counts for
4 papers
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…
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…
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…
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…