Nick Firoozye

UCL - Computer Science

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

308

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  Overfitting (GANs and Covariance Penalties, Bootstraps, MHT), Algorithmic Trading, Forecast Combinations, Portfolio Trading, Reinforcement Learning.  ”

Scholarly Papers (4)

1.

Algorithms in Future Capital Markets

Number of pages: 23
Adriano Koshiyama, Nick Firoozye and Philip Treleaven
University College London, Financial Computing and Analytics Group, Department of Computer Science, Students, UCL - Computer Science and University College London
Downloads 179

Abstract:

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Finance, Artificial Intelligence, Machine Learning, Algorithms, Review

2.

A Derivatives Trading Recommendation System: the Mid-Curve Calendar Spread Case

Number of pages: 43 Posted: 11 Nov 2018
Adriano Koshiyama, Nick Firoozye and Philip Treleaven
University College London, Financial Computing and Analytics Group, Department of Computer Science, Students, UCL - Computer Science and University College London
Downloads 66 (352,428)

Abstract:

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Trading Recommendation System; Machine Learning; Derivatives, Swaptions

3.

Optimal Dynamic Strategies on Gaussian Returns

Number of pages: 32 Posted: 02 Jun 2019
Nick Firoozye and Adriano Koshiyama
UCL - Computer Science and University College London, Financial Computing and Analytics Group, Department of Computer Science, Students
Downloads 63 (361,069)

Abstract:

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Algorithmic Trading, Dynamic Strategies, Over-Fitting, Quantitative Finance, Signal Processing

4.

Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases

The Journal of Financial Data Science Fall 2019, 1 (4) 63-83; DOI: https://doi.org/10.3905/jfds.2019.1.013
Posted: 02 Jun 2019
Adriano Koshiyama and Nick Firoozye
University College London, Financial Computing and Analytics Group, Department of Computer Science, Students and UCL - Computer Science

Abstract:

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Algorithmic Trading, Overfitting, Covariance-Penalty, Total Least Squares, Ordinary Least Squares, Quantitative Finance