Paul Bilokon

Department of Computing, Imperial College London

180 Queen's Gate

London, SW7 2AZ

United Kingdom

Department of Mathematics, Imperial College London

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

Thalesians Ltd

SCHOLARLY PAPERS

16

DOWNLOADS
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in Total Papers Downloads

9,785

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Ideas:
“  High-frequency trading (HFT) and the underlying computational techniques; Real-time machine learning; Time series databases; Vector databases; High-performance computing (HPC): low latency and high throughput computing involving novel devices, such as GPUs, FPGAs, IPUs, TPUs, QPUs, etc.; Applications of ML/AI to quantitative finance; Applications of ML/AI to econometrics; Applications of ML/AI to risk management; Real-time risk management; Applications of ML/AI to drug discovery; Graph neural networks; Reinforcement learning; Quantum computing; Big data; Open data; The philosophy and ethics of ML/AI  ”

Scholarly Papers (16)

1.

A Compendium of Data Sources for Data Science, Machine Learning, and Artificial Intelligence

Number of pages: 18 Posted: 12 Sep 2023
Paul Bilokon, Oleksandr Bilokon and Saeed Amen
Department of Computing, Imperial College London, Thalesians and Cuemacro
Downloads 1,522 (23,150)

Abstract:

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Artificial intelligence, AI, machine learning, ML, data science, datasets, data, alternative data

2.

C Design Patterns for Low-Latency Applications Including High-Frequency Trading

Number of pages: 50 Posted: 09 Sep 2023
Paul Bilokon and Burak Gunduz
Department of Computing, Imperial College London and Imperial College London - Department of Computing
Downloads 1,367 (27,296)

Abstract:

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low latency, real time computing, high-frequency trading, hft, high-performance computing

3.

Transformers Versus LSTMs for Electronic Trading

Number of pages: 39 Posted: 17 Oct 2023
Paul Bilokon and Yitao Qiu
Department of Computing, Imperial College London and Imperial College London - Department of Computing
Downloads 917 (47,983)
Citation 3

Abstract:

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LSTM, transformer, econometrics, deep econometrics, time series forecasting

4.

Exploring the Advantages of Transformers for High-Frequency Trading

Number of pages: 20 Posted: 24 Feb 2023
The University of Edinburgh, Department of Computing, Imperial College London, Imperial College London - Department of Computing and Imperial College London - Department of Computing
Downloads 915 (48,135)

Abstract:

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deep learning, transformers, high-frequency trading, hft

5.

Semi-static Conditions in Low-latency C for High Frequency Trading: Better than Branch Prediction Hints

Number of pages: 53 Posted: 28 Aug 2023
Paul Bilokon, Maximilian Lucuta and Erez Shermer
Department of Computing, Imperial College London, Imperial College London, Department of Computing and qSpark LLC
Downloads 904 (48,961)

Abstract:

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semi-static conditions, high performance computing, high frequency trading, low latency

6.

Market regime classification with signatures

Number of pages: 14 Posted: 08 Jul 2021
Imperial College London, Department of Computing, Imperial College London and affiliation not provided to SSRN
Downloads 721 (66,447)

Abstract:

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Signature, clustering

7.

Iterated and Exponentially Weighted Moving Principal Component Analysis

Number of pages: 9 Posted: 01 Sep 2021
Paul Bilokon and David Finkelstein
Department of Computing, Imperial College London and DQR Ltd
Downloads 512 (102,277)

Abstract:

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principal component analysis, PCA, moving statistics, rolling statistics

8.

Quasi-Monte Carlo Methods for Calculating Derivatives Sensitivities on the GPU

Number of pages: 26 Posted: 28 Sep 2022
Paul Bilokon, Sergei Kucherenko and Casey Williams
Department of Computing, Imperial College London, Imperial College London - Faculty of Engineering and Imperial College London - Department of Computing
Downloads 509 (103,008)

Abstract:

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Monte Carlo, Quasi-Monte-Carlo, option pricing, derivative pricing, GPU computing, GPGPU, CUDA

9.

Real-time VaR Calculations for Crypto Derivatives in KDB /Q

Number of pages: 37 Posted: 03 Oct 2023
Yutong Chen, Paul Bilokon, Conan Hales and Laura Kerr
Imperial College London - Department of Computing, Department of Computing, Imperial College London, Kx Systems and Kx Systems
Downloads 491 (107,640)

Abstract:

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risk, financial risk, real-time risk, value-at-risk, cryptocurrency, high-frequency data, big data, time series databases

10.

Benchmarking Specialized Databases for High-frequency Data

Number of pages: 29 Posted: 31 Jan 2023
Fazl Barez, Paul Bilokon and Ruijie Xiong
The University of Edinburgh, Department of Computing, Imperial College London and Imperial College London - Department of Computing
Downloads 440 (122,530)

Abstract:

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databases, high-frequency data, big data, time series

11.

Implementing Portfolio Risk Management and Hedging in Practice

Number of pages: 14 Posted: 25 Oct 2023
Paul Bilokon
Department of Computing, Imperial College London
Downloads 412 (133,432)

Abstract:

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risk, hedging, portfolio management, risk management, optimisation, quadratic programming, convex optimisation

12.

Simulation of Fractional Brownian Motion and Related Stochastic Processes in Practice: A Straightforward Approach

Number of pages: 48 Posted: 13 Feb 2024
Yat Chun Chester Wong and Paul Bilokon
Imperial College London - Department of Computing and Department of Computing, Imperial College London
Downloads 314 (180,052)

Abstract:

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Brownian motion, fractional Brownian motion, Hurst exponent, rough volatility, option pricing

13.

Applying Deep Learning to Calibrate Stochastic Volatility Models

Number of pages: 44 Posted: 16 Oct 2023
Abir Sridi and Paul Bilokon
Université Paris I Panthéon-Sorbonne and Department of Computing, Imperial College London
Downloads 307 (182,534)

Abstract:

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stochastic volatility, deep volatility, deep learning, differential deep learning, Heston model

14.

Derivatives Sensitivities Computation under Heston Model on GPU

Number of pages: 15 Posted: 13 Oct 2023
Pierre-Antoine Arsaguet and Paul Bilokon
Imperial College London - Department of Computing and Department of Computing, Imperial College London
Downloads 228 (246,129)

Abstract:

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option pricing, option hedging, greeks, monte carlo, quasi-monte carlo, risk

15.

From Deep Filtering to Deep Econometrics

Number of pages: 24 Posted: 02 Oct 2023
Robert Stok and Paul Bilokon
Imperial College London - Department of Computing and Department of Computing, Imperial College London
Downloads 177 (310,123)

Abstract:

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stochastic filtering, particle filtering, deep filtering, econometrics, deep econometrics

16.

Evolution-Bootstrapped Simulation: Artificial or Human Intelligence: Which Came First?

Number of pages: 5 Posted: 17 Jan 2024
Paul Bilokon
Department of Computing, Imperial College London
Downloads 49 (720,127)

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artificial intelligence, deep intelligence, simulation argument, evolution, evolution-bootstrapped simulation