Stefan Zohren

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 16,646

in Total Papers Downloads

4,274

SSRN CITATIONS

9

CROSSREF CITATIONS

1

Scholarly Papers (10)

1.

Quantifying Long-Term Market Impact

Number of pages: 23 Posted: 01 Jul 2021 Last Revised: 21 Sep 2021
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 1,107 (27,484)

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Impact costs, slippage, square-root law, implementation shortfall, metaorders, child orders, changepoints, systematic strategies, alpha, trading strategies, optimal execution, stitching, propagator

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 970 (33,196)
Citation 1

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

3.

Realised Volatility Forecasting: Machine Learning via Financial Word Embedding

Number of pages: 44 Posted: 29 Jul 2021
Eghbal Rahimikia, Stefan Zohren and Ser-Huang Poon
University of Manchester - Alliance Manchester Business School, University of Oxford - Oxford-Man Institute of Quantitative Finance and Alliance Manchester Business School, University of Manchester
Downloads 663 (55,514)

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Realised Volatility Forecasting; Machine Learning; Natural Language Processing; Word Embedding; Explainable AI; Dow Jones Newswires; Big Data

4.

Canonical Portfolios: Optimal Asset and Signal Combination

Number of pages: 38 Posted: 01 Mar 2022
Nick Firoozye, Vincent Tan and Stefan Zohren
UCL - Computer Science, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 460 (87,580)

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Canonical Correlation Analysis, Covariance and Cross-Covariance Matrix Estimation, Portfolio Selection, Risk Parity, Statistical Arbitrage

5.

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 389 (106,282)
Citation 4

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Portfolio Optimization, Deep Learning, Machine Learning, ETFs

6.

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 (213,915)

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7.

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 185 (224,010)
Citation 1

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

8.

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 168 (243,122)
Citation 6

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

9.

Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach

Number of pages: 25 Posted: 01 Mar 2021
Vincent Tan and Stefan Zohren
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 137 (286,817)

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High-dimensional statistics, cross-validation, nonlinear shrinkage, exponential weighted moving average, Random Matrix Theory, rotation equivariance

10.

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

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