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Stefan Zohren

Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models

May 11, 2023
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff, Stefan Zohren

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On Sequential Bayesian Inference for Continual Learning

Jan 04, 2023
Samuel Kessler, Adam Cobb, Tim G. J. Rudner, Stefan Zohren, Stephen J. Roberts

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* 21 pages, 14 figures

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DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions

Sep 23, 2022
Fernando Moreno-Pino, Stefan Zohren

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Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity

Aug 24, 2022
Daniel Poh, Stephen Roberts, Stefan Zohren

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* 15 pages, 9 figures

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Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture

Dec 16, 2021
Kieran Wood, Sven Giegerich, Stephen Roberts, Stefan Zohren

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Realised Volatility Forecasting: Machine Learning via Financial Word Embedding

Aug 01, 2021
Eghbal Rahimikia, Stefan Zohren, Ser-Huang Poon

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Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection

Jun 18, 2021
Kieran Wood, Stephen Roberts, Stefan Zohren

* minor corrections, strategy comparison for 2015-2020 made more robust by repeated trials

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