Showing 50 publications by Stefan Zohren
Understanding stock market instability via graph auto-encoders
Gorduza D, Zohren S & Dong X (2025), EPJ Data Science, 14(1)
BibTeX
@article{understandingst-2025/2,
title={Understanding stock market instability via graph auto-encoders},
author={Gorduza D, Zohren S & Dong X},
journal={EPJ Data Science},
volume={14},
number={13},
publisher={SpringerOpen},
year = "2025"
}
LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data
Nagy P, Frey S, Li K, Sarkar B, Vyetrenko S et al. (2025)
BibTeX
@misc{lobbenchbenchma-2025/2,
title={LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data},
author={Nagy P, Frey S, Li K, Sarkar B, Vyetrenko S et al.},
year = "2025"
}
When Dimensionality Hurts: The Role of LLM Embedding Compression for Noisy Regression Tasks
Drinkall F, Pierrehumbert JB & Zohren S (2025)
BibTeX
@misc{whendimensional-2025/2,
title={When Dimensionality Hurts: The Role of LLM Embedding Compression for Noisy Regression Tasks},
author={Drinkall F, Pierrehumbert JB & Zohren S},
year = "2025"
}
Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization
Hwang Y, Kong Y, Zohren S & Lee Y (2025)
BibTeX
@misc{decisioninforme-2025/2,
title={Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization},
author={Hwang Y, Kong Y, Zohren S & Lee Y},
year = "2025"
}
Position: Empowering Time Series Reasoning with Multimodal LLMs
Kong Y, Yang Y, Wang S, Liu C, Liang Y et al. (2025)
BibTeX
@misc{positionempower-2025/2,
title={Position: Empowering Time Series Reasoning with Multimodal LLMs},
author={Kong Y, Yang Y, Wang S, Liu C, Liang Y et al.},
year = "2025"
}
Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs
Drinkall F, Pierrehumbert JB & Zohren S (2025), Proceedings - International Conference on Computational Linguistics, COLING, 118-133
BibTeX
@inproceedings{forecastingcred-2025/1,
title={Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs},
author={Drinkall F, Pierrehumbert JB & Zohren S},
pages={118-133},
year = "2025"
}
Extracting Alpha from Financial Analyst Networks
Gorduza D, Kong Y, Dong X & Zohren S (2024), 397-405
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"
}
Deep Learning for Options Trading: An End-To-End Approach
Tan WL, Roberts S & Zohren S (2024), 487-495
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"
}
Accelerating machine learning for trading using programmable switches
Hong X, Zheng C, Zohren S & Zilberman N (2024), ECAI 2024, 3429-3436
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"
}
Extracting Alpha from Financial Analyst Networks
Gorduza D, Kong Y, Dong X & Zohren S (2024)
BibTeX
@misc{extractingalpha-2024/10,
title={Extracting Alpha from Financial Analyst Networks},
author={Gorduza D, Kong Y, Dong X & Zohren S},
year = "2024"
}
The 10th Mining and Learning from Time Series Workshop: From Classical Methods to LLMs
Purushotham S, Song D, Wen Q, Huan J, Shen C et al. (2024), 6733-6734
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"
}
Unlocking the Power of LSTM for Long Term Time Series Forecasting
Kong Y, Wang Z, Nie Y, Zhou T, Zohren S et al. (2024)
BibTeX
@misc{unlockingthepow-2024/8,
title={Unlocking the Power of LSTM for Long Term Time Series Forecasting},
author={Kong Y, Wang Z, Nie Y, Zhou T, Zohren S et al.},
year = "2024"
}
Deep Learning for Options Trading: An End-To-End Approach
Tan WL, Roberts S & Zohren S (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"
}
Traditional Methods Outperform Generative LLMs at Forecasting Credit Ratings
Drinkall F, Pierrehumbert JB & Zohren S (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"
}
Time machine GPT
Drinkall F, Rahimikia E, Pierrehumbert J & Zohren S (2024)
BibTeX
@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"
}
A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges
Nie Y, Kong Y, Dong X, Mulvey JM, Poor HV et al. (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"
}
Time Machine GPT
Drinkall F, Rahimikia E, Pierrehumbert JB & Zohren S (2024)
BibTeX
@misc{timemachinegpt-2024/4,
title={Time Machine GPT},
author={Drinkall F, Rahimikia E, Pierrehumbert JB & Zohren S},
year = "2024"
}
Few-shot learning patterns in financial time series for trend-following strategies
Wood K, Kessler S, Roberts SJ & Zohren S (2024), Journal of Financial Data Science, 6(2), 88-115
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"
}
Wisdom of the crowds or ignorance of the masses? A data-driven guide to WallStreetBets
Semenova V, Gorduza D, Wildi W, Dong X & Zohren S (2024), Journal of Portfolio Management, 50(4), 88-106
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"
}
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
Arroyo A, Cartea A, Moreno-Pino F & Zohren S (2024), Quantitative Finance
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"
}
DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions.
Moreno-Pino F & Zohren S (2024), Quantitative finance, 24(8), 1105-1127
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"
}
JAX-LOB: a GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
Frey S, Li K, Nagy P, Sapora S, Lu C et al. (2023), 583-591
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"
}
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
Nagy P, Frey S, Sapora S, Li K, Calinescu A et al. (2023), 91-99
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"
}
Dynamic Time Warping for Lead-Lag Relationship Detection in Lagged Multi-Factor Models
Zhang Y, Cucuringu M, Shestopaloff A & Zohren S (2023), 454-462
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"
}
Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
Wood K, Kessler S, Roberts SJ & Zohren S (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"
}
Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets.
Nagy P, Calliess J-P & Zohren S (2023), Frontiers in artificial intelligence, 6, 1151003
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"
}
Graphical structures for design and verification of quantum error correction
Chancellor N, Kissinger A, Zohren S, Roffe J & Horsman D (2023), Quantum Science and Technology, 8(4)
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"
}
Canonical portfolios: Optimal asset and signal combination
Firoozye N, Tan V & Zohren S (2023), Journal of Banking & Finance, 154, 106952
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"
}
On statistical arbitrage under a conditional factor model of equity returns
Spears T, Zohren S & Roberts S (2023)
BibTeX
@misc{onstatisticalar-2023/9,
title={On statistical arbitrage under a conditional factor model of equity returns},
author={Spears T, Zohren S & Roberts S},
year = "2023"
}
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models
Zhang Y, Cucuringu M, Shestopaloff AY & Zohren S (2023)
BibTeX
@misc{dynamictimewarp-2023/9,
title={Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models},
author={Zhang Y, Cucuringu M, Shestopaloff AY & Zohren S},
year = "2023"
}
Wisdom of the crowds or ignorance of the masses? A data-driven guide to WSB
Semenova V, Gorduza D, Wildi W, Dong X & Zohren S (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"
}
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
Frey S, Li K, Nagy P, Sapora S, Lu C et al. (2023)
BibTeX
@misc{jaxlobagpuaccel-2023/8,
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.},
year = "2023"
}
Learning to Learn Financial Networks for Optimising Momentum Strategies
Pu X, Zohren S, Roberts S & Dong X (2023)
BibTeX
@misc{learningtolearn-2023/8,
title={Learning to Learn Financial Networks for Optimising Momentum Strategies},
author={Pu X, Zohren S, Roberts S & Dong X},
year = "2023"
}
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
Nagy P, Frey S, Sapora S, Li K, Calinescu A et al. (2023)
BibTeX
@misc{generativeaifor-2023/8,
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.},
year = "2023"
}
Network Momentum across Asset Classes
Pu X, Roberts S, Dong X & Zohren S (2023)
BibTeX
@misc{networkmomentum-2023/8,
title={Network Momentum across Asset Classes},
author={Pu X, Roberts S, Dong X & Zohren S},
year = "2023"
}
Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies
Liu T, Roberts S & Zohren S (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"
}
View fusion vis-à-vis a Bayesian interpretation of Black–Litterman for portfolio allocation
Spears T, Zohren S & Roberts S (2023), Journal of Financial Data Science, 5(3), 23-49
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"
}
Spatio-temporal momentum: jointly learning time-series and cross-sectional strategies
Tan WL, Roberts S & Zohren S (2023), Journal of Financial Data Science, 5(3), 107-129
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"
}
LOBIN: in-network machine learning for limit order books
Hong X, Zheng C, Zohren S & Zilberman N (2023), 2023 IEEE 24th International Conference on High Performance Switching and Routing (HPSR), 159-166
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"
}
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
Arroyo A, Cartea A, Moreno-Pino F & Zohren S (2023)
BibTeX
@misc{deepattentivesu-2023/6,
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},
year = "2023"
}
On sequential Bayesian inference for continual learning
Kessler S, Cobb A, Rudner TGJ, Zohren S & Roberts SJ (2023), Entropy , 25(6)
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"
}
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Zhang Y, Cucuringu M, Shestopaloff AY & Zohren S (2023)
BibTeX
@misc{robustdetection-2023/5,
title={Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models},
author={Zhang Y, Cucuringu M, Shestopaloff AY & Zohren S},
year = "2023"
}
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies
Tan WL, Roberts S & Zohren S (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"
}
View fusion vis-à-vis a Bayesian interpretation of Black-Litterman for portfolio allocation
Spears T, Zohren S & Roberts S (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"
}
Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
Nagy P, Calliess J-P & Zohren S (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"
}
On Sequential Bayesian Inference for Continual Learning
Kessler S, Cobb A, Rudner TGJ, Zohren S & Roberts SJ (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"
}
Slow momentum with fast reversion: a trading strategy using deep learning and changepoint detection
Wood K, Roberts S & Zohren S (2022), Journal of Financial Data Science, 4(1), 111-129
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"
}
Understanding stock market instability via graph auto-encoders
Gorduza D, Dong X & Zohren S (2022)
BibTeX
@misc{understandingst-2022/12,
title={Understanding stock market instability via graph auto-encoders},
author={Gorduza D, Dong X & Zohren S},
year = "2022"
}
Linnet: limit order books within switches
Hong X, Zheng C, Zohren S & Zilberman N (2022), SIGCOMM '22: Proceedings of the SIGCOMM '22 Poster and Demo Sessions, 37-39
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"
}
Linnet: limit order books within switches
Hong X, Zheng C, Zohren S & Zilberman N (2022), SIGCOMM '22: Proceedings of the SIGCOMM '22 Poster and Demo Sessions, 37-39
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"
}