Publications

BibTeX

@inproceedings{extractingalpha-2024/11,
  title={Extracting Alpha from Financial Analyst Networks},
  author={Gorduza D, Kong Y, Dong X & Zohren S},
  booktitle={Proceedings of the 5th ACM International Conference on AI in Finance},
  pages={397-405},
  year = "2024"
}

BibTeX

@inproceedings{deeplearningfor-2024/11,
  title={Deep Learning for Options Trading: An End-To-End Approach},
  author={Tan WL, Roberts S & Zohren S},
  booktitle={Proceedings of the 5th ACM International Conference on AI in Finance},
  pages={487-495},
  year = "2024"
}

BibTeX

@inproceedings{acceleratingmac-2024/10,
  title={Accelerating machine learning for trading using programmable switches},
  author={Hong X, Zheng C, Zohren S & Zilberman N},
  booktitle={27th European Conference on Artificial Intelligence (ECAI 2024)},
  pages={3429-3436},
  year = "2024"
}

BibTeX

@inproceedings{thethminingandl-2024/8,
  title={The 10th Mining and Learning from Time Series Workshop: From Classical Methods to LLMs},
  author={Purushotham S, Song D, Wen Q, Huan J, Shen C et al.},
  booktitle={Proceedings of the 30th ACM SIGKDD Conference on Knowledge Discovery and Data Mining},
  pages={6733-6734},
  year = "2024"
}

BibTeX

@misc{deeplearningfor-2024/7,
  title={Deep Learning for Options Trading: An End-To-End Approach},
  author={Tan WL, Roberts S & Zohren S},
  year = "2024"
}

BibTeX

@misc{traditionalmeth-2024/7,
  title={Traditional Methods Outperform Generative LLMs at Forecasting Credit Ratings},
  author={Drinkall F, Pierrehumbert JB & Zohren S},
  year = "2024"
}

@inproceedings{timemachinegpt-2024/6,
  title={Time machine GPT},
  author={Drinkall F, Rahimikia E, Pierrehumbert J & Zohren S},
  booktitle={2024 Annual Conference of the North American Chapter of the Association for Computational Linguistics},
  year = "2024"
}

BibTeX

@misc{asurveyoflargel-2024/6,
  title={A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges},
  author={Nie Y, Kong Y, Dong X, Mulvey JM, Poor HV et al.},
  year = "2024"
}

BibTeX

@misc{timemachinegpt-2024/4,
  title={Time Machine GPT},
  author={Drinkall F, Rahimikia E, Pierrehumbert JB & Zohren S},
  year = "2024"
}

BibTeX

@article{fewshotlearning-2024/3,
  title={Few-shot learning patterns in financial time series for trend-following strategies},
  author={Wood K, Kessler S, Roberts SJ & Zohren S},
  journal={Journal of Financial Data Science},
  volume={6},
  pages={88-115},
  publisher={Portfolio Management Research},
  year = "2024"
}

BibTeX

@article{wisdomofthecrow-2024/2,
  title={Wisdom of the crowds or ignorance of the masses? A data-driven guide to WallStreetBets},
  author={Semenova V, Gorduza D, Wildi W, Dong X & Zohren S},
  journal={Journal of Portfolio Management},
  volume={50},
  pages={88-106},
  publisher={Portfolio Management Research},
  year = "2024"
}

BibTeX

@article{deepattentivesu-2024/1,
  title={Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers},
  author={Arroyo A, Cartea A, Moreno-Pino F & Zohren S},
  journal={Quantitative Finance},
  publisher={Taylor and Francis},
  year = "2024"
}

BibTeX

@article{deepvolvolatili-2024/,
  title={DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions.},
  author={Moreno-Pino F & Zohren S},
  journal={Quantitative finance},
  volume={24},
  pages={1105-1127},
  year = "2024"
}

BibTeX

@article{jaxlobagpuaccel-2023/11,
  title={JAX-LOB: a GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading},
  author={Frey S, Li K, Nagy P, Sapora S, Lu C et al.},
  journal={},
  pages={583-591},
  publisher={Association for Computing Machinery},
  year = "2023"
}

BibTeX

@inproceedings{generativeaifor-2023/11,
  title={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},
  author={Nagy P, Frey S, Sapora S, Li K, Calinescu A et al.},
  booktitle={4th ACM International Conference on AI in Finance},
  pages={91-99},
  year = "2023"
}

BibTeX

@inproceedings{dynamictimewarp-2023/11,
  title={Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models},
  author={Zhang Y, Cucuringu M, Shestopaloff A & Zohren S},
  booktitle={4th ACM International Conference on AI in Finance},
  pages={454-462},
  year = "2023"
}

BibTeX

@misc{fewshotlearning-2023/10,
  title={Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies},
  author={Wood K, Kessler S, Roberts SJ & Zohren S},
  year = "2023"
}

BibTeX

@article{asynchronousdee-2023/9,
  title={Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets.},
  author={Nagy P, Calliess J-P & Zohren S},
  journal={Frontiers in artificial intelligence},
  volume={6},
  pages={1151003},
  publisher={Frontiers},
  year = "2023"
}

BibTeX

@article{graphicalstruct-2023/9,
  title={Graphical structures for design and verification of quantum error correction},
  author={Chancellor N, Kissinger A, Zohren S, Roffe J & Horsman D},
  journal={Quantum Science and Technology},
  volume={8},
  number={045028},
  publisher={IOP Publishing},
  year = "2023"
}

BibTeX

@article{canonicalportfo-2023/9,
  title={Canonical portfolios: Optimal asset and signal combination},
  author={Firoozye N, Tan V & Zohren S},
  journal={Journal of Banking & Finance},
  volume={154},
  pages={106952},
  publisher={Elsevier},
  year = "2023"
}

BibTeX

@misc{wisdomofthecrow-2023/8,
  title={Wisdom of the crowds or ignorance of the masses? A data-driven guide to WSB},
  author={Semenova V, Gorduza D, Wildi W, Dong X & Zohren S},
  year = "2023"
}

BibTeX

@misc{deepinceptionne-2023/7,
  title={Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies},
  author={Liu T, Roberts S & Zohren S},
  year = "2023"
}

BibTeX

@article{viewfusionvisvi-2023/6,
  title={View fusion vis-à-vis a Bayesian interpretation of Black–Litterman for portfolio allocation},
  author={Spears T, Zohren S & Roberts S},
  journal={Journal of Financial Data Science},
  volume={5},
  pages={23-49},
  publisher={Portfolio Management Research},
  year = "2023"
}

BibTeX

@article{spatiotemporalm-2023/6,
  title={Spatio-temporal momentum: jointly learning time-series and cross-sectional strategies},
  author={Tan WL, Roberts S & Zohren S},
  journal={Journal of Financial Data Science},
  volume={5},
  pages={107-129},
  publisher={Portfolio Management Research},
  year = "2023"
}

BibTeX

@inproceedings{lobininnetworkm-2023/6,
  title={LOBIN: in-network machine learning for limit order books},
  author={Hong X, Zheng C, Zohren S & Zilberman N},
  booktitle={IEEE 24th International Conference on High-Performance Switching and Routing (IEEE HPSR 2023)},
  pages={159-166},
  year = "2023"
}

BibTeX

@article{onsequentialbay-2023/5,
  title={On sequential Bayesian inference for continual learning},
  author={Kessler S, Cobb A, Rudner TGJ, Zohren S & Roberts SJ},
  journal={Entropy },
  volume={25},
  number={884},
  publisher={MDPI},
  year = "2023"
}

BibTeX

@misc{spatiotemporalm-2023/2,
  title={Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies},
  author={Tan WL, Roberts S & Zohren S},
  year = "2023"
}

BibTeX

@misc{viewfusionvisvi-2023/1,
  title={View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation},
  author={Spears T, Zohren S & Roberts S},
  year = "2023"
}

BibTeX

@misc{asynchronousdee-2023/1,
  title={Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets},
  author={Nagy P, Calliess J-P & Zohren S},
  year = "2023"
}

BibTeX

@misc{onsequentialbay-2023/1,
  title={On Sequential Bayesian Inference for Continual Learning},
  author={Kessler S, Cobb A, Rudner TGJ, Zohren S & Roberts SJ},
  year = "2023"
}

BibTeX

@article{slowmomentumwit-2022/12,
  title={Slow momentum with fast reversion: a trading strategy using deep learning and changepoint detection},
  author={Wood K, Roberts S & Zohren S},
  journal={Journal of Financial Data Science},
  volume={4},
  pages={111-129},
  publisher={Portfolio Management Research},
  year = "2022"
}

BibTeX

@misc{understandingst-2022/12,
  title={Understanding stock market instability via graph auto-encoders},
  author={Gorduza D, Dong X & Zohren S},
  year = "2022"
}

BibTeX

@inproceedings{linnetlimitorde-2022/10,
  title={Linnet: limit order books within switches},
  author={Hong X, Zheng C, Zohren S & Zilberman N},
  booktitle={36th ACM Special Interest Group on Data Communication (SIGCOMM 2022)},
  pages={37-39},
  year = "2022"
}

BibTeX

@inproceedings{linnetlimitorde-2022/10,
  title={Linnet: limit order books within switches},
  author={Hong X, Zheng C, Zohren S & Zilberman N},
  booktitle={36th ACM Special Interest Group on Data Communication (SIGCOMM 2022)},
  pages={37-39},
  year = "2022"
}

BibTeX

@article{enhancingcrosss-2022/7,
  title={Enhancing cross-sectional currency strategies by context-aware learning to rank with self-attention},
  author={Poh D, Lim B, Zohren S & Roberts S},
  journal={Journal of Financial Data Science},
  volume={4},
  pages={89-107},
  publisher={Portfolio Management Research},
  year = "2022"
}

BibTeX

@inproceedings{forecastingcovi-2022/7,
  title={Forecasting COVID-19 caseloads using unsupervised embedding clusters of social media posts},
  author={Drinkall F, Zohren S & Pierrehumbert JB},
  booktitle={ 2022 Annual Conference of the North American Chapter of the Association for Computational Linguistics (NAACL 2022)},
  pages={1471-1484},
  year = "2022"
}

@article{learningratesas-2022/6,
  title={Learning rates as a function of batch size: a random matrix theory approach to neural network training},
  author={Granziol D, Zohren S & Roberts S},
  journal={Journal of Machine Learning Research},
  volume={23},
  pages={1-65},
  publisher={Journal of Machine Learning Research},
  year = "2022"
}

BibTeX

@article{maximumentropya-2022/6,
  title={Maximum entropy approach to massive graph spectrum learning with applications},
  author={Granziol D, Ru B, Dong X, Zohren S, Osborne M et al.},
  journal={Algorithms},
  volume={15},
  number={209},
  publisher={MDPI},
  year = "2022"
}

BibTeX

@inproceedings{samestatediffer-2022/6,
  title={Same state, different task: continual reinforcement learning without interference},
  author={Kessler S, Parker-Holder J, Ball P, Zohren S & Roberts SJ},
  booktitle={36th Annual AAAI Conference on Artificial Intelligence (AAAI 2022)},
  pages={7143-7151},
  year = "2022"
}

BibTeX

@article{quantifyinglong-2022/1,
  title={Quantifying Long-Term Market Impact},
  author={Harvey CR, Ledford A, Sciulli E, Ustinov P & Zohren S},
  journal={The Journal of Portfolio Management},
  volume={48},
  pages={25-46},
  publisher={Pageant Media US},
  year = "2022"
}

BibTeX

@inproceedings{fastagentbaseds-2022/,
  title={Fast Agent-Based Simulation Framework with Applications to Reinforcement Learning and the Study of Trading Latency Effects},
  author={Belcak P, Calliess J-P & Zohren S},
  pages={42-56},
  year = "2022"
}

BibTeX

@misc{tradingwiththem-2021/12,
  title={Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture},
  author={Wood K, Giegerich S, Roberts S & Zohren S},
  year = "2021"
}

BibTeX

@misc{samestatediffer-2021/6,
  title={Same State, Different Task: Continual Reinforcement Learning without Interference},
  author={Kessler S, Parker-Holder J, Ball P, Zohren S & Roberts SJ},
  year = "2021"
}

BibTeX

@misc{slowmomentumwit-2021/5,
  title={Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection},
  author={Wood K, Roberts S & Zohren S},
  year = "2021"
}

BibTeX

@misc{enhancingcrosss-2021/5,
  title={Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention},
  author={Poh D, Lim B, Zohren S & Roberts S},
  year = "2021"
}

BibTeX

@article{timeseriesforec-2021/4,
  title={Time-series forecasting with deep learning: a survey.},
  author={Lim B & Zohren S},
  journal={Philosophical transactions. Series A, Mathematical, physical, and engineering sciences},
  volume={379},
  pages={20200209},
  year = "2021"
}

BibTeX

@article{buildingcrossse-2021/3,
  title={Building cross-sectional systematic strategies by learning to rank},
  author={Poh D, Lim B, Zohren S & Roberts S},
  journal={Journal of Financial Data Science},
  volume={3},
  pages={70-86},
  publisher={Portfolio Management Research},
  year = "2021"
}

BibTeX

@article{sentimentcorrel-2021/2,
  title={Sentiment correlation in financial news networks and associated market movements},
  author={Wan X, Yang J, Marinov S, Calliess J-P, Zohren S et al.},
  journal={Scientific Reports},
  volume={11},
  number={3062},
  publisher={Springer Nature},
  year = "2021"
}

BibTeX

@article{deeplearningfor-2021/1,
  title={Deep Learning for Market by Order Data},
  author={Zhang Z, Lim B & Zohren S},
  journal={Applied Mathematical Finance},
  volume={28},
  pages={79-95},
  publisher={Taylor & Francis},
  year = "2021"
}

BibTeX

@article{investmentsizin-2021/1,
  title={Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading},
  author={Spears T, Zohren S & Roberts S},
  journal={The Journal of Financial Data Science},
  volume={3},
  pages={57-73},
  publisher={Pageant Media US},
  year = "2021"
}