Felix Prenzel

University of Oxford - Mathematical Institute

Radcliffe Observatory, Andrew Wiles Building

Woodstock Rd

Oxford, Oxfordshire OX2 6GG

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 15,207

in Total Papers Downloads

6,179

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks

Number of pages: 34 Posted: 19 Jan 2023 Last Revised: 24 May 2023
Milena Vuletić, Mihai Cucuringu and Felix Prenzel
University of Oxford, University of Oxford - Department of Statistics and University of Oxford - Mathematical Institute
Downloads 4,668 (3,932)
Citation 2

Abstract:

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GANs, financial returns, time series forecasting, classification

2.

Analysis and Modeling of Client Order Flow in Limit Order Markets

Number of pages: 32 Posted: 28 Feb 2022
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 954 (46,456)

Abstract:

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Limit order books, order flow, heterogeneous order flow, unsupervised learning, clustering, time series, machine learning

3.

Limit Order Book Simulation with Generative Adversarial Networks

Number of pages: 28 Posted: 24 Jul 2023
University of Oxford, University of Oxford - Department of Statistics, JP Morgan and University of Oxford - Mathematical Institute
Downloads 557 (95,282)
Citation 2

Abstract:

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Generative Modeling, GANs, Limit Order Books, Market Impact, Synthetic Data