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

12

DOWNLOADS
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Top 23,904

in Total Papers Downloads

2,081

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

Enhancing Time Series Momentum Strategies Using Deep Neural Networks

The Journal of Financial Data Science, Fall 2019
Number of pages: 21 Posted: 08 May 2019 Last Revised: 10 Jan 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 878 (27,616)
Citation 1

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

2.

Machine Learning-Based Financial Statement Analysis

Number of pages: 56 Posted: 27 Jan 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 385 (80,056)

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

3.

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 175 (179,872)

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

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 141 (215,746)
Citation 4

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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 112 (256,803)
Citation 1

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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.

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 104 (270,471)
Citation 1

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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

7.

Deep Reinforcement Learning for Trading

Journal of Financial Data Science, Volume 2, Issue 2, 2019
Number of pages: 16 Posted: 10 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 90 (297,347)

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Reinforcement Learning, Trading Strategies, Time-Series Momentum

8.

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 73 (336,934)

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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

9.

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 56 (386,262)
Citation 1

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

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 30 (489,318)
Citation 2

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

11.

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 20 (546,329)

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12.

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 17 (564,916)

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