Showing 50 publications by Stefan Zohren
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"
}
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"
}
Enhancing cross-sectional currency strategies by context-aware learning to rank with self-attention
Poh D, Lim B, Zohren S & Roberts S (2022), Journal of Financial Data Science, 4(3), 89-107
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"
}
Learning rates as a function of batch size: a random matrix theory approach to neural network training
Granziol D, Zohren S & Roberts S (2022), Journal of Machine Learning Research, 23(173), 1-65
BibTeX
@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"
}
Maximum entropy approach to massive graph spectrum learning with applications
Granziol D, Ru B, Dong X, Zohren S, Osborne M et al. (2022), Algorithms, 15(6)
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"
}
Quantifying Long-Term Market Impact
Harvey CR, Ledford A, Sciulli E, Ustinov P & Zohren S (2022), The Journal of Portfolio Management, 48(3), 25-46
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"
}
Time-series forecasting with deep learning: a survey.
Lim B & Zohren S (2021), Philosophical transactions. Series A, Mathematical, physical, and engineering sciences, 379(2194), 20200209
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"
}
Building cross-sectional systematic strategies by learning to rank
Poh D, Lim B, Zohren S & Roberts S (2021), Journal of Financial Data Science, 3(2), 70-86
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"
}
Sentiment correlation in financial news networks and associated market movements
Wan X, Yang J, Marinov S, Calliess J-P, Zohren S et al. (2021), Scientific Reports, 11(1)
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"
}
Deep Learning for Market by Order Data
Zhang Z, Lim B & Zohren S (2021), Applied Mathematical Finance, 28(1), 79-95
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"
}
Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading
Spears T, Zohren S & Roberts S (2021), The Journal of Financial Data Science, 3(1), 57-73
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"
}
Deep Learning for Portfolio Optimization
Zhang Z, Zohren S & Roberts S (2020), The Journal of Financial Data Science, 2(4), 8-20
BibTeX
@article{deeplearningfor-2020/10,
title={Deep Learning for Portfolio Optimization},
author={Zhang Z, Zohren S & Roberts S},
journal={The Journal of Financial Data Science},
volume={2},
pages={8-20},
publisher={Pageant Media US},
year = "2020"
}
Recurrent neural filters: learning independent Bayesian filtering steps for time series prediction
Lim B, Zohren S & Roberts S (2020), Proceedings of the 2020 International Joint Conference on Neural Networks, 1-8
BibTeX
@article{recurrentneural-2020/9,
title={Recurrent neural filters: learning independent Bayesian filtering steps for time series prediction},
author={Lim B, Zohren S & Roberts S},
journal={Proceedings of the 2020 International Joint Conference on Neural Networks},
pages={1-8},
publisher={IEEE},
year = "2020"
}
Deep Reinforcement Learning for Trading
Zhang Z, Zohren S & Roberts S (2020), The Journal of Financial Data Science, 2(2), 25-40
BibTeX
@article{deepreinforceme-2020/4,
title={Deep Reinforcement Learning for Trading},
author={Zhang Z, Zohren S & Roberts S},
journal={The Journal of Financial Data Science},
volume={2},
pages={25-40},
publisher={Pageant Media US},
year = "2020"
}
Quantum Codes From Classical Graphical Models
Roffe J, Zohren S, Horsman D & Chancellor N (2020), IEEE TRANSACTIONS ON INFORMATION THEORY, 66(1), 130-146
BibTeX
@article{quantumcodesfro-2020/1,
title={Quantum Codes From Classical Graphical Models},
author={Roffe J, Zohren S, Horsman D & Chancellor N},
journal={IEEE TRANSACTIONS ON INFORMATION THEORY},
volume={66},
pages={130-146},
year = "2020"
}
Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
Lim B, Zohren S & Roberts S (2019), The Journal of Financial Data Science, 1(4), 19-38
BibTeX
@article{enhancingtimese-2019/10,
title={Enhancing Time-Series Momentum Strategies Using Deep Neural Networks},
author={Lim B, Zohren S & Roberts S},
journal={The Journal of Financial Data Science},
volume={1},
pages={19-38},
publisher={Pageant Media US},
year = "2019"
}
MEMe: An accurate maximum entropy method for efficient approximations in large-scale machine learning
Granziol D, Ru B, Zohren S, Dong X, Osborne M et al. (2019), Entropy, 21(6)
BibTeX
@article{memeanaccuratem-2019/5,
title={MEMe: An accurate maximum entropy method for efficient approximations in large-scale machine learning},
author={Granziol D, Ru B, Zohren S, Dong X, Osborne M et al.},
journal={Entropy},
volume={21},
number={551},
publisher={MDPI},
year = "2019"
}
DeepLOB: Deep convolutional neural networks for limit order books
Zhang Z, Zohren S & Roberts S (2019), IEEE Transactions on Signal Processing, 67(11), 3001-3012
BibTeX
@article{deeplobdeepconv-2019/3,
title={DeepLOB: Deep convolutional neural networks for limit order books},
author={Zhang Z, Zohren S & Roberts S},
journal={IEEE Transactions on Signal Processing},
volume={67},
pages={3001-3012},
publisher={IEEE},
year = "2019"
}
BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
Zhang Z, Zohren S & Roberts S (2018), Third workshop on Bayesian Deep Learning (NeurIPS 2018)
BibTeX
@article{bdlobbayesiande-2018/12,
title={BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books},
author={Zhang Z, Zohren S & Roberts S},
journal={Third workshop on Bayesian Deep Learning (NeurIPS 2018)},
year = "2018"
}
Practical Bayesian Learning of Neural Networks via Adaptive Optimisation Methods
Kessler S, Salas A, Tan VWC, Zohren S & Roberts S (2018)
BibTeX
@misc{practicalbayesi-2018/11,
title={Practical Bayesian Learning of Neural Networks via Adaptive Optimisation Methods},
author={Kessler S, Salas A, Tan VWC, Zohren S & Roberts S},
year = "2018"
}
Entropic Spectral Learning for Large-Scale Graphs
Granziol D, Ru B, Zohren S, Dong X, Osborne M et al. (2018)
BibTeX
@misc{entropicspectra-2018/4,
title={Entropic Spectral Learning for Large-Scale Graphs},
author={Granziol D, Ru B, Zohren S, Dong X, Osborne M et al.},
year = "2018"
}
On the extreme value statistics of normal random matrices and 2D Coulomb gases: Universality and finite N corrections
Ebrahimi R & Zohren S (2018), Journal of Statistical Mechanics Theory and Experiment, 2018(3), 033301
BibTeX
@article{ontheextremeval-2018/3,
title={On the extreme value statistics of normal random matrices and 2D Coulomb gases: Universality and finite N corrections},
author={Ebrahimi R & Zohren S},
journal={Journal of Statistical Mechanics Theory and Experiment},
volume={2018},
pages={033301},
publisher={IOP Publishing},
year = "2018"
}
Gradient descent in Gaussian random fields as a toy model for high-dimensional optimisation in deep learning
Chouza M, Roberts S & Zohren S (2018)
BibTeX
@misc{gradientdescent-2018/3,
title={Gradient descent in Gaussian random fields as a toy model for high-dimensional optimisation in deep learning},
author={Chouza M, Roberts S & Zohren S},
year = "2018"
}
On the ratio probability of the smallest eigenvalues in the Laguerre unitary ensemble
Charlier C & Zohren S (2018), Nonlinearity, 31(4), 1155-1196
BibTeX
@article{ontheratioproba-2018/2,
title={On the ratio probability of the smallest eigenvalues in the Laguerre unitary ensemble},
author={Charlier C & Zohren S},
journal={Nonlinearity},
volume={31},
pages={1155-1196},
publisher={IOP Publishing},
year = "2018"
}
Quantum-classical truncated Newton method for high-dimensional energy landscapes
Wossnig L, Tschiatschek S & Zohren S (2017)
BibTeX
@misc{quantumclassica-2017/10,
title={Quantum-classical truncated Newton method for high-dimensional energy landscapes},
author={Wossnig L, Tschiatschek S & Zohren S},
year = "2017"
}
Circuit design for multi-body interactions in superconducting quantum annealing systems with applications to a scalable architecture
Chancellor N, Zohren S & Warburton PA (2017), npj Quantum Information, 3
BibTeX
@article{circuitdesignfo-2017/6,
title={Circuit design for multi-body interactions in superconducting quantum annealing systems with applications to a scalable architecture},
author={Chancellor N, Zohren S & Warburton PA},
journal={npj Quantum Information},
volume={3},
number={21},
publisher={Springer Nature},
year = "2017"
}
A Direct Mapping of Max k-SAT and High Order Parity Checks to a Chimera Graph
Chancellor N, Zohren S, Warburton PA, Benjamin S & Roberts S (2016), Scientific Reports, 6, 37107
BibTeX
@article{adirectmappingo-2016/11,
title={A Direct Mapping of Max k-SAT and High Order Parity Checks to a Chimera
Graph},
author={Chancellor N, Zohren S, Warburton PA, Benjamin S & Roberts S},
journal={Scientific Reports},
volume={6},
pages={37107},
publisher={Nature Publishing Group},
year = "2016"
}
Graphical Structures for Design and Verification of Quantum Error Correction
Chancellor N, Kissinger A, Roffe J, Zohren S & Horsman D (2016)
BibTeX
@misc{graphicalstruct-2016/11,
title={Graphical Structures for Design and Verification of Quantum Error Correction},
author={Chancellor N, Kissinger A, Roffe J, Zohren S & Horsman D},
year = "2016"
}
Maximal non-classicality in multi-setting Bell inequalities
Tavakoli A, Zohren S & Pawlowski M (2016), Journal of Physics A: Mathematical and Theoretical, 49(14), 145301
BibTeX
@article{maximalnonclass-2016/4,
title={Maximal non-classicality in multi-setting Bell inequalities},
author={Tavakoli A, Zohren S & Pawlowski M},
journal={Journal of Physics A: Mathematical and Theoretical},
volume={49},
pages={145301},
publisher={IOP Publishing},
year = "2016"
}
Violations of Bell inequalities from random pure states
Atkin MR & Zohren S (2015), Physical Review A, 92(1), 012331
BibTeX
@article{violationsofbel-2015/7,
title={Violations of Bell inequalities from random pure states},
author={Atkin MR & Zohren S},
journal={Physical Review A},
volume={92},
pages={012331},
publisher={American Physical Society (APS)},
year = "2015"
}
Quantum weighted entropy and its properties
Suhov Y & Zohren S (2014)
BibTeX
@misc{quantumweighted-2014/11,
title={Quantum weighted entropy and its properties},
author={Suhov Y & Zohren S},
year = "2014"
}
Dominance of most tolerant species in multi-type lattice Widom–Rowlinson models
Mazel A, Suhov Y, Stuhl I & Zohren S (2014), Journal of Statistical Mechanics Theory and Experiment, 2014(8), p08010
BibTeX
@article{dominanceofmost-2014/8,
title={Dominance of most tolerant species in multi-type lattice Widom–Rowlinson models},
author={Mazel A, Suhov Y, Stuhl I & Zohren S},
journal={Journal of Statistical Mechanics Theory and Experiment},
volume={2014},
pages={p08010},
publisher={IOP Publishing},
year = "2014"
}
Dominance of most tolerant species in multi-type lattice Widom-Rowlinson models
Mazel A, Suhov Y, Stuhl I & Zohren S (2014), JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT
BibTeX
@article{dominanceofmost-2014/,
title={Dominance of most tolerant species in multi-type lattice Widom-Rowlinson models},
author={Mazel A, Suhov Y, Stuhl I & Zohren S},
journal={JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT},
number={ARTN P08010},
year = "2014"
}
Estimating a probability mass function with unknown labels
Anevski D, Gill RD & Zohren S (2013), The Annals of Statistics, 45, 6
BibTeX
@article{estimatingaprob-2013/12,
title={Estimating a probability mass function with unknown labels},
author={Anevski D, Gill RD & Zohren S},
journal={The Annals of Statistics},
volume={45},
pages={6},
year = "2013"
}
Instantons and Extreme Value Statistics of Random Matrices
Atkin MR & Zohren S (2013), Journal of High Energy Physics, 04, 118
BibTeX
@article{instantonsandex-2013/7,
title={Instantons and Extreme Value Statistics of Random Matrices},
author={Atkin MR & Zohren S},
journal={Journal of High Energy Physics},
volume={04},
pages={118},
year = "2013"
}
Bounds on the critical line via transfer matrix methods for an Ising model coupled to causal dynamical triangulations
Hernandez JC, Suhov Y, Yambartsev A & Zohren S (2013), J. Math. Phys., 54, 063301
BibTeX
@article{boundsonthecrit-2013/1,
title={Bounds on the critical line via transfer matrix methods for an Ising
model coupled to causal dynamical triangulations},
author={Hernandez JC, Suhov Y, Yambartsev A & Zohren S},
journal={J. Math. Phys.},
volume={54},
pages={063301},
year = "2013"
}
Growth of Uniform Infinite Causal Triangulations
Sisko V, Yambartsev A & Zohren S (2013), Journal of Statistical Physics, 150(2), 353-374
BibTeX
@article{growthofuniform-2013/1,
title={Growth of Uniform Infinite Causal Triangulations},
author={Sisko V, Yambartsev A & Zohren S},
journal={Journal of Statistical Physics},
volume={150},
pages={353-374},
year = "2013"
}
Spectral dimension flow on continuum random multigraph
Giasemidis G, Wheater JF & Zohren S (2012), AIP Conf. Proc., 1483, 455
BibTeX
@article{spectraldimensi-2012/9,
title={Spectral dimension flow on continuum random multigraph},
author={Giasemidis G, Wheater JF & Zohren S},
journal={AIP Conf. Proc.},
volume={1483},
pages={455},
year = "2012"
}
Aspects of dynamical dimensional reduction in multigraph ensembles of CDT
Giasemidis G, Wheater JF & Zohren S (2012), J. Phys.: Conf. Ser., 410, 012154
BibTeX
@article{aspectsofdynami-2012/9,
title={Aspects of dynamical dimensional reduction in multigraph ensembles of
CDT},
author={Giasemidis G, Wheater JF & Zohren S},
journal={J. Phys.: Conf. Ser.},
volume={410},
pages={012154},
year = "2012"
}
Analytical approaches to 2D CDT coupled to matter
Atkin MR & Zohren S (2012), J.Phys.Conf.Ser., 410, 012131
BibTeX
@article{analyticalappro-2012/9,
title={Analytical approaches to 2D CDT coupled to matter},
author={Atkin MR & Zohren S},
journal={J.Phys.Conf.Ser.},
volume={410},
pages={012131},
year = "2012"
}
CDT coupled to dimer matter: An analytical approach via tree bijections
Atkin MR & Zohren S (2012), AIP Conf.Proc., 1483, 330-335
BibTeX
@article{cdtcoupledtodim-2012/9,
title={CDT coupled to dimer matter: An analytical approach via tree bijections},
author={Atkin MR & Zohren S},
journal={AIP Conf.Proc.},
volume={1483},
pages={330-335},
year = "2012"
}
Spectral Dimension of Trees with a Unique Infinite Spine
Stefánsson SO & Zohren S (2012), Journal of Statistical Physics, 147(5), 942-962
BibTeX
@article{spectraldimensi-2012/6,
title={Spectral Dimension of Trees with a Unique Infinite Spine},
author={Stefánsson SO & Zohren S},
journal={Journal of Statistical Physics},
volume={147},
pages={942-962},
year = "2012"
}
FZZT Brane Relations in the Presence of Boundary Magnetic Fields
Atkin MR & Zohren S (2012), JHEP, 1211, 163
BibTeX
@article{fzztbranerelati-2012/4,
title={FZZT Brane Relations in the Presence of Boundary Magnetic Fields},
author={Atkin MR & Zohren S},
journal={JHEP},
volume={1211},
pages={163},
year = "2012"
}
Growth of uniform infinite causal triangulations
Sisko V, Yambartsev A & Zohren S (2012), Journal of Statistical Physics, 150, 353-374
BibTeX
@article{growthofuniform-2012/3,
title={Growth of uniform infinite causal triangulations},
author={Sisko V, Yambartsev A & Zohren S},
journal={Journal of Statistical Physics},
volume={150},
pages={353-374},
year = "2012"
}
On the Quantum Geometry of Multi-critical CDT
Atkin MR & Zohren S (2012), JHEP, 11, 037
BibTeX
@article{onthequantumgeo-2012/3,
title={On the Quantum Geometry of Multi-critical CDT},
author={Atkin MR & Zohren S},
journal={JHEP},
volume={11},
pages={037},
year = "2012"
}
Dynamical dimensional reduction in toy models of 4D causal quantum gravity
Giasemidis G, Wheater JF & Zohren S (2012), Physical Review D, 86, 081503
BibTeX
@article{dynamicaldimens-2012/2,
title={Dynamical dimensional reduction in toy models of 4D causal quantum
gravity},
author={Giasemidis G, Wheater JF & Zohren S},
journal={Physical Review D},
volume={86},
pages={081503},
year = "2012"
}
Multigraph models for causal quantum gravity and scale dependent spectral dimension
Giasemidis G, Wheater JF & Zohren S (2012), J.Phys. A, 45, 355001
BibTeX
@article{multigraphmodel-2012/2,
title={Multigraph models for causal quantum gravity and scale dependent
spectral dimension},
author={Giasemidis G, Wheater JF & Zohren S},
journal={J.Phys. A},
volume={45},
pages={355001},
year = "2012"
}
An Analytical Analysis of CDT Coupled to Dimer-like Matter
Atkin MR & Zohren S (2012), Physics Letters B 712 (2012), pp. 445-450
BibTeX
@article{ananalyticalana-2012/2,
title={An Analytical Analysis of CDT Coupled to Dimer-like Matter},
author={Atkin MR & Zohren S},
journal={Physics Letters B 712 (2012), pp. 445-450},
year = "2012"
}
Spectral dimension of trees with a unique infinite spine
Stefansson SO & Zohren S (2012), J. Stat. Phys., 147 (2012), 942-962
BibTeX
@article{spectraldimensi-2012/2,
title={Spectral dimension of trees with a unique infinite spine},
author={Stefansson SO & Zohren S},
journal={J. Stat. Phys., 147 (2012), 942-962},
year = "2012"
}