Stephen Roberts

University of Oxford - Oxford-Man Institute of Quantitative Finance

Professor

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 11,291

SSRN RANKINGS

Top 11,291

in Total Papers Downloads

6,039

SSRN CITATIONS
Rank 41,994

SSRN RANKINGS

Top 41,994

in Total Papers Citations

13

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

Machine Learning-Based Financial Statement Analysis

Number of pages: 69 Posted: 27 Jan 2020 Last Revised: 03 Dec 2020
University of Oxford - Said Business School, Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 2,840 (6,367)
Citation 2

Abstract:

Loading...

financial statement analysis, fundamental value, machine learning, earnings announcement, accounting-based anomalies, prediction

2.

Building Cross-Sectional Systematic Strategies By Learning to Rank

Number of pages: 12 Posted: 19 Feb 2021
Daniel Poh, Bryan Lim, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 981 (32,744)
Citation 1

Abstract:

Loading...

Momentum Strategies, Systematic Trading, Portfolio Construction, Machine Learning, Learning to Rank, Information Retrieval, Deep Neural Networks

3.

Deep Learning for Portfolio Optimisation

Number of pages: 12 Posted: 23 Jun 2020
Zihao Zhang, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 392 (105,430)
Citation 4

Abstract:

Loading...

Portfolio Optimization, Deep Learning, Machine Learning, ETFs

4.

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Number of pages: 28 Posted: 21 Sep 2017
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 265 (160,177)
Citation 5

Abstract:

Loading...

Stochastic Differential Equation, Gaussian Process, Cointelation, Value at Risk (VaR), Responsive VaR, Stable VaR, Responsible VaR, Anticipative VaR, Anticipatible VaR, Stochastic Differential Equations (SDE), Implied Volatility Parametrization (IVP), High Frequency Trading Ecosystem (HFTE), VAR

5.

A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection

Number of pages: 38 Posted: 13 Feb 2019 Last Revised: 12 Jul 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 224 (188,332)
Citation 2

Abstract:

Loading...

High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning

6.

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Number of pages: 27 Posted: 04 Mar 2018 Last Revised: 26 Jan 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 221 (190,762)

Abstract:

Loading...

Implied Volatility Parametrization (IVP), Volatility Surface, SVI, gSVI, Arbitrage Free Volatility Surface, Fundamental Review of the Trading Book (FRTB)

7.

Guidelines for Building a Realistic Algorithmic Trading Market Simulator for Backtesting while Incorporating Market Impact

Number of pages: 19 Posted: 05 Aug 2019 Last Revised: 09 Mar 2020
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 216 (195,034)

Abstract:

Loading...

Generative Adversarial Networks (GANs), High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Data Analysis and Patterns in Data, Elec- tronic Trading, Systemic Risk, HFT

8.

Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio

Number of pages: 9 Posted: 19 Feb 2020
Bryan Lim, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 195 (214,158)

Abstract:

Loading...

9.

Investment Sizing with Deep Learning Prediction Uncertainties for High-Frequency Eurodollar Futures Trading.

Number of pages: 15 Posted: 10 Sep 2020
Trent Spears, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 186 (223,224)
Citation 1

Abstract:

Loading...

Financial time-series analysis, high-frequency data, interest rate derivatives, deep learning.

10.

DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

Zhang, Z., Zohren, S., & Roberts, S. (2019). DeepLOB: Deep convolutional neural networks for limit order books. IEEE Transactions on Signal Processing, 67(11), 3001-3012.
Number of pages: 12 Posted: 08 Feb 2020
Zihao Zhang, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 169 (242,204)
Citation 6

Abstract:

Loading...

Feature extraction, Predictive models, Data models, Instruments, Mathematical model, Stock markets, Training

11.

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Number of pages: 26 Posted: 20 Sep 2017 Last Revised: 10 Aug 2018
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 128 (302,420)
Citation 1

Abstract:

Loading...

High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Reversible-Jump, RJ-MCMC, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading

12.

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Number of pages: 31 Posted: 21 Sep 2017 Last Revised: 30 Aug 2018
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 97 (366,011)
Citation 1

Abstract:

Loading...

Volatility Smile, Implied Volatility Wings, Heston Model, P-Heston, IVP, SVI, Stochastic Volatility, Implied Volatility Surface Parametrization, Asymptotic Convergence, Local Correlation Surface

13.

Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning

Number of pages: 47 Posted: 24 Feb 2020
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 69 (446,206)

Abstract:

Loading...

Pairs Trading, Cointelation, Portfolio Optimization, Stochastic Control, Band-wise Gaussian Mixture, Deep Learning

14.

Addendum on How Many Times Cointelated Pairs Cross Paths

Number of pages: 12 Posted: 02 Apr 2020
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 35 (593,830)

Abstract:

Loading...

Pairs Trading, Cointelation, Cointegration, Correlation, Number of Turning Points, Number of Crosses

15.

Short Memories? The Impact of SEC Enforcement on Insider Leakage

Number of pages: 33 Posted: 19 Apr 2021
Sid Ghoshal, Martin Bengtzen and Stephen Roberts
affiliation not provided to SSRN, King's College London and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 21 (686,307)

Abstract:

Loading...

Time-series models, financial econometrics, illegal behavior and the enforcement of law, nonparametric methods

16.

Enhancing Time Series Momentum Strategies Using Deep Neural Networks

The Journal of Financial Data Science, Fall 2019, https://jfds.pm-research.com/content/1/4/19
Posted: 08 May 2019 Last Revised: 24 May 2020
Bryan Lim, Stefan Zohren and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance

Abstract:

Loading...

Momentum Strategies, Trend Following, Machine Learning, Deep Neural Networks, Time Series Prediction