Stefan Zohren
University of Oxford
H-index: 25
Europe-United Kingdom
Top articles of Stefan Zohren
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Deep attentive survival analysis in limit order books: Estimating fill probabilities with convolutional-transformers | Quantitative Finance | Alvaro Arroyo Alvaro Cartea Fernando Moreno-Pino Stefan Zohren | 2024/1/4 |
Time Machine GPT | arXiv preprint arXiv:2404.18543 | Felix Drinkall Eghbal Rahimikia Janet B Pierrehumbert Stefan Zohren | 2024/4/29 |
Wisdom of the Crowds or Ignorance of the Masses? A Data-Driven Guide to WallStreetBets. | Journal of Portfolio Management | Valentina Semenova Dragos Gorduza William Wildi Xiaowen Dong Stefan Zohren | 2024/2/1 |
Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network | Peer Nagy Sascha Frey Silvia Sapora Kang Li Anisoara Calinescu | 2023/11/27 | |
Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets | Frontiers in Artificial Intelligence | Peer Nagy Jan-Peter Calliess Stefan Zohren | 2023 |
8. MACHINE LEARNING FOR MICROSTRUCTURE DATA-DRIVEN EXECUTION ALGORITHMS | Handbook of Artificial Intelligence and Big Data Applications in Investments | Peer Nagy James Powrie Stefan Zohren | 2023/4/24 |
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models | arXiv preprint arXiv:2309.08800 | Yichi Zhang Mihai Cucuringu Alexander Y Shestopaloff Stefan Zohren | 2023/9/15 |
Dynamic Portfolio Selection under Transaction Costs and Signal Decay | Available at SSRN 4425407 | Nick Firoozye Vincent Tan Stefan Zohren | 2023/4/22 |
On statistical arbitrage under a conditional factor model of equity returns | arXiv preprint arXiv:2309.02205 | Trent Spears Stefan Zohren Stephen Roberts | 2023/9/5 |
Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies | arXiv preprint arXiv:2307.05522 | Tom Liu Stephen Roberts Stefan Zohren | 2023/7/7 |
Spatio-temporal momentum: Jointly learning time-series and cross-sectional strategies | arXiv preprint arXiv:2302.10175 | Wee Ling Tan Stephen Roberts Stefan Zohren | 2023/2/20 |
Large Covariance Estimation by Bootstrapped Hierarchies and Shrinkage | Christian Bongiorno Vincent Tan Stefan Zohren | 2023/12/5 | |
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading | Sascha Yves Frey Kang Li Peer Nagy Silvia Sapora Christopher Lu | 2023/11/27 | |
Canonical portfolios: Optimal asset and signal combination | Journal of Banking & Finance | Nikan Firoozye Vincent Tan Stefan Zohren | 2023/9/1 |
LOBIN: In-network machine learning for limit order books | Xinpeng Hong Changgang Zheng Stefan Zohren Noa Zilberman | 2023/6/5 | |
View fusion vis-\a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation | arXiv preprint arXiv:2301.13594 | Trent Spears Stefan Zohren Stephen Roberts | 2023/1/31 |
Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models | Yichi Zhang Mihai Cucuringu Alexander Shestopaloff Stefan Zohren | 2023/11/27 | |
Learning to Learn Financial Networks for Optimising Momentum Strategies | arXiv preprint arXiv:2308.12212 | Stefan Zohren Stephen Roberts Xiaowen Dong | 2023/8/23 |
Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies | arXiv preprint arXiv:2310.10500 | Kieran Wood Samuel Kessler Stephen J Roberts Stefan Zohren | 2023/10/16 |
On sequential bayesian inference for continual learning | Entropy | Samuel Kessler Adam Cobb Tim GJ Rudner Stefan Zohren Stephen J Roberts | 2023/6 |
Co-Authors
