Stefan Zohren

University of Oxford - Oxford-Man Institute of Quantitative Finance

Eagle House

Walton Well Road

Oxford, Oxfordshire OX2 6ED

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

68

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

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 36 (470,265)
Citation 3

Abstract:

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

2.

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 32 (488,846)

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3.

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:

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

4.

Deep Learning for Portfolio Optimisation

Number of pages: 12
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 0

Abstract:

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Portfolio optimisation, deep learning, machine learning, ETFs