Publications

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Can Stimulating Demand Drive Costs Down? World War II as a Natural Experiment

Doyne Farmer

2020

Mixture Density Conditional Generative Adversarial Network Models (MD-CGAN)

Jaleh Zand and Steve Roberts

2020

Bayes Opt Adversarial Attack

Binxin (Robin) Ru and Arno Blaas

2020

Reinforcement Learning in R

Nicolas Pröllochs

2020

Predicting Sentence-Level Polarity Labels of Financial News Using Abnormal Stock Returns

Nicolas Pröllochs

2020

Formal and Efficient Control Synthesis for Continuous-Time Stochastic Processes

Alessandro Abate

2020

Purchase Patterns, Socioeconomic Status and Political Inclination

Xiaowen Dong

2020

Hedging Non-tradable Risks with Transaction Costs and Price Impact

Alvaro Cartea

2020

Spoofing and Price Manipulation in Order-Driven Markets

Alvaro Cartea

2020

Kernels for Sequentially Ordered Data

Harald Oberhauser

2019

An Introduction to Machine Learning

Anthony Ledford

2019

Measuring Productivity Dispersion: a Parametric Approach Using the Lévy Alpha-stable Distribution

Doyne Farmer

2019

Emergent Inequality and Endogenous Dynamics in a Simple Behavioral Macroeconomic Model

Doyne Farmer

2019

A Simulation of the Insurance Industry: The Problem of Risk Model Homogeneity

Doyne Farmer

2019

Optimal Pricing in Black Box Producer-Consumer Stackelberg Games using Revealed Preference Feedback

Steve Roberts

2019

Scenario-Free Analysis of Financial Stability with Interacting Contagion Channels

Alissa Kleinnijenhuis and Doyne Farmer

2019

Quantum Algorithms for Training Gaussian Processes

Steve Roberts and Mike Osborne

2019

Disentangling to Cluster: Gaussian Mixture Variational Ladder Auto-Encoders

Steve Roberts

2019

European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty

Martin Tegnér and Samuel Cohen

2019

A General Framework for Fair Regression

Mike Osborne and Steve Roberts

2019

Indian Buffet Neural Network for Continual Learning

Samuel Kessler, Stefan Zohren and Steve Roberts

2019

Asynchronous Batch Bayesian Optimisation with Improved Local Penalisation

Binxin (Robin) Ru, Steve Roberts and Mike Osborne

2019

Enhancing Time Series Momentum Strategies Using Deep Neural Networks

Bryan Lim, Stefan Zohren and Steve Roberts

2019

Be Careful What You Ask For: Fundraising Strategies in Equity Crowdfunding

Nir Vulkan

2019

A Machine Learning Approach to Risk Minimisation in Electricity Markets

Daniel Poh, Martin Tegnér and Steve Roberts

2019

Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

Sumudu Watugala and Mathias Kruttli

2019

A Probabilistic Approach to Nonparametric Local Volatility

Martin Tegnér and Steve Roberts

2019

Prime Broker Exposures, Collateral, and Resilience in Hedge Fund Credit Networks

Mathias Kruttli and Sumudu Watugala

2019

The Effects of the Volcker Rule on Corporate Bond Trading: Evidence from the Underwriting Exemption

Sumudu Watugala

2019

The Atalanta Effect: How High-Powered Compensation Reduces Risk-Taking

Dunhong Jin

2019

Bayesian Optimisation Over Multiple Continuous and Categorical Inputs

Binxin (Robin) Ru, Vu Nguyen, Mike Osborne and Steve Roberts

2019

Gradient descent in Gaussian Random Fields as a Toy Model for High-Dimensional Optimisation in Deep Learning

Stefan Zohren and Steve Roberts

2019

The Deep Learning Limit: Are Negative Neural Network Eigenvalues Just Noise?

Diego Granziol, Stefan Zohren and Steve Roberts

2019

Population-based Global Optimisation Methods for Learning Long-term Dependencies with RNNs

Bryan Lim, Stefan Zohren and Steve Roberts

2019

An Accurate Maximum Entropy Method for Efficient Approximations in Large-Scale Machine Learning

Diego Granziol, Binxin (Robin) Ru, Stefan Zohren, Xiaowen Dong, Mike Osborne and Steve Roberts

2019

Super-resolution of Time-series Labels for Bootstrapped Event Detection

Steve Roberts

2019

Closing the K-FAC Generalisation Gap Using Stochastic Weight Averaging

Xingchen Wan, Diego Granziol, Stefan Zohren and Steve Roberts

2019

Extending Deep Learning Models for Limit Order Books to Quantile Regression

Zihao Zhang, Stefan Zohren and Steve Roberts

2019

How Does Mini-Batching Affect Curvature Information for Second Order Deep Learning Optimization

Xingchen Wan, Diego Granziol, Stefan Zohren and Steve Roberts

2019

Semi-Separable Hamiltonian Monte Carlo for Inference in Bayesian Neural Networks

Steve Roberts

2019

WiSE-ALE: Wide Sample Estimator for Approximate Latent Embedding

Steve Roberts

2019

Optimising Worlds to Evaluate and Influence Reinforcement Learning Agents

Steve Roberts

2019

Scalable Bounding of Predictive Uncertainty in Regression Problems with SLAC

Arno Blaas, Jan-Peter Calliess and Steve Roberts

2019

Localised Kinky Inference

Arno Blaas and Jan-Peter Calliess

2019

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Babak Mahdavi-Damghani and Steve Roberts

2019

Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction

Bryan Lim, Stefan Zohren and Steve Roberts

2019

Bounding Quantiles of Wasserstein Distance Between True and Empirical Measure

Samuel Cohen and Martin Tegnér

2019

Semi-supervised Learning with Deep Generative Models

Steve Roberts

2019

DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

Zihao Zhang, Stefan Zohren and Steve Roberts

2019

Safe Policy Search Using Gaussian Process Models

Steve Roberts

2019

Logically-Constrained Neural Fitted Q-Iteration

Alessandro Abate

2019

Ultra-Fast Activity and Intraday Market Quality

Alvaro Cartea

2019

Market Making with Minimum Resting Times

Alvaro Cartea

2019

Automated Formal Synthesis of Provably Safe Digital Controllers for Continuous Plants

Alessandro Abate

2019

Reinforcement Learning with Linear Logic Guidance

Alessandro Abate

2019

Earnings Forecasts in Mergers and Acquisitions

Amir Amel-Zadeh

2019

Are all Insider Sales Created Equal? First Evidence from Supplementary Disclosures on SEC Filings

Amir Amel-Zadeh

2019

Robust Data-Based Model Predictive Control for Nonlinear Constrained Systems

Jan-Peter Calliess

2019

Online Optimisation for Online Learning and Control – From No-Regret to Generalised Error Convergence

Jan-Peter Calliess

2019

Foreign Exchange Markets with Last Look Mathematics and Financial Economics

Alvaro Cartea

2019

Learning Graphs from Data: A Signal Representation Perspective

Xiaowen Dong

2019

Ultra-Fast Activity and Intraday Market Quality

Alvaro Cartea

2019

StocHy: Automatic Verification and Synthesis of Stochastic Processes

Alessandro Abate

2019

Efficiency Through Uncertainty: Scalable Formal Synthesis for Stochastic Hybrid Systems

Alessandro Abate

2019

Solving Strong-Substitutes Product-Mix Auctions

Paul Goldberg

2019

The Hairy Ball Problem is PPAD-Complete

Paul Goldberg

2019

Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?

Robert Kosowski

2019

Entropic Graph Spectrum

Diego Granziol, Xiaowen Dong, Stefan Zohren and Steve Roberts

2019

Adversarial Robustness Guarantees for Classification with Gaussian Processes

Arno Blaas and Steve Roberts

2019

Hyperbolic development and inversion of signature

Terry Lyons

2018

How well do Experience Curves Predict Technological Progress? A Method for Making Distributional Forecasts

Patrick McSharry

2018

Customer Segmentation for East African Microgrid Consumers

Patrick McSharry

2018

Forecasting Energy Demand for Microgrids Over Multiple Horizons

Patrick McSharry

2018

Persistence Paths and Signature Features in Topological Data Analysis

Harald Oberhauser

2018

BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books

Zihao Zhang, Stefan Zohren and Steve Roberts

2018

Modelling Analysts’ Recommendations via Bayesian Machine Learning

Anthony Ledford

2018

Dual Attainment for the Martingale Transport Problem

Jan Obłój

2018

Pointwise Arbitrage Pricing Theory in Discrete Time

Jan Obłój

2018

The Robust Pricing – Hedging Duality for American Options in Discrete Time Financial Markets

Jan Obłój

2018

Two Explicit Skorokhod Embeddings for Simple Symmetric Random Walk

Jan Obłój

2018

The Root Solution to the Multi-Marginal Embedding Problem: An Optimal Stopping and Time-Reversal Approach

Jan Obłój

2018

Time–Consistent Investment Under Model Uncertainty: The Robust Forward Criteria

Jan Obłój

2018

Robust Pricing–Hedging Duality in Continuous Time

Jan Obłój

2018

Pathwise Stochastic Calculus with Local Times

Jan Obłój

2018

An Iterated Azéma-Yor Type Embedding for Finitely Many Marginals

Jan Obłój

2018

Robust Pricing and Hedging Under Trading Restrictions and the Emergence of Local Martingale Models

Jan Obłój

2018

A Bayesian Optimization Approach to Compute the Nash Equilibria of Potential Games using Bandit Feedback

Steve Roberts

2018

Naked Aggression: Personality and Portfolio Manager Performance

Nir Vulkan

2018

Optimal Hedge Tracking Portfolios in a Limit Order Book

Martin Tegnér

2018

Economic Uncertainty, Trading Activity, and Commodity Futures Volatility

Sumudu Watugala

2018

Stochastic Volatility for Utility Maximisers – A Martingale Approach

Martin Tegnér

2018

Volatility is Log-Normal – but not for the reason you think

Martin Tegnér

2018

BCCNet: Bayesian Classifier Combination Neural Network

Steve Roberts

2018

MOrdRed: Memory-based Ordinal Regression Deep Neural Networks for Time Series Forecasting

Steve Roberts

2018

Practical Bayesian Learning of Neural Networks via Adaptive Subgradient Methods

Stefan Zohren and Steve Roberts

2018

Bayesian Nonparametrics and Feedback-Linearisation of Discretised Conrol-Affine Systems

Jan-Peter Calliess and Steve Roberts

2018

Sequential Sampling of Gaussian Latent Variable Models

Martin Tegnér and Steve Roberts

2018

Bioacoustic Detection with Wavelet-Conditioned Convolutional Neural Networks

Steve Roberts

2018

Improved Stochastic Trace Estimation Using Mutually Unbiased Bases

Steve Roberts

2018

Optimization, Fast and Slow: Optimally Switching Between Local and Bayesian Optimization

Steve Roberts

2018

Tropical Abstractions of Max-Plus Linear Systems

Alessandro Abate

2018

Thresholded ConvNet Ensembles: Neural Networks for Technical Forecasting

Siddartha Ghoshal and Steve Roberts

2018

Loss-Calibrated Approximate Inference in Bayesian Neural Networks

Steve Roberts

2018

Linear Quadratic Regulation of Polytopic Time-inhomogeneous Markov Jump Linear Systems

Alessandro Abate

2018

Entropic Spectral Learning in Large Scale Networks

Diego Granziol, Binxin (Robin) Ru, Stefan Zohren, Xiaowen Dong and Steve Roberts

2018

Nonlinear Set Membership Regression with Adaptive Hyper-Parameter Estimation for Online Learning and Control

Jan-Peter Calliess and Steve Roberts

2018

Identifying Sources and Sinks in the Presence of Multiple Agents with Gaussian Process Vector Calculus

Steve Roberts

2018

Provenance Network Analytics: An Approach to Data Analytics Using Data Provenance

Steve Roberts

2018

Learning Against Non-Stationary Agents with Opponent Modelling and Deep Reinforcement Learning

Steve Roberts

2018

Deploying Novel Exploration Techniques (NETs) for Malaria Policy Interventions

Steve Roberts

2018

Bayesian Optimization of Personalised Models for Patient Vital-Sign Monitoring

Steve Roberts

2018

Impact of Solar Panels and Cooling Devices on Frequency Control after a Generation Loss Incident

Alessandro Abate

2018

Proceedings of the 6th IFAC Conference on Analysis and Design of Hybrid Systems

Alessandro Abate

2018

Maintenance of Smart Buildings Using Fault Trees

Alessandro Abate

2018

Symbolic Abstractions of Networked Control Systems

Alessandro Abate

2018

Do U.S. Analysts Improve the Local Information Environment of Cross-Listed Stocks?

Amir Amel-Zadeh

2018

Distributed Optimization for Energy Management in Building Networks

Jan-Peter Calliess

2018

Algorithmic Trading, Stochastic Control and Mutually Exciting Processes

Alvaro Cartea

2018

Technical Uncertainty in Real Options with Learning Journal of Energy Markets

Alvaro Cartea

2018

Lazily Adapted Constant Kinky Inference for Nonparametric Regression and Model-Reference Adaptive Control

Jan-Peter Calliess

2018

Behavioural Attributes and Financial Churn Prediction

Xiaowen Dong

2018

Methods for Quantifying Effects of Social Unrest Using Credit Card Transaction Data

Xiaowen Dong

2018

Market Making with Minimum Resting Times

Alvaro Cartea

2018

Social Bridges in Urban Purchase Behaviour ACM Transactions on Intelligent Systems and Technology

Xiaowen Dong

2018

Modelling Smart Buildings Using Fault Maintenance Trees

Alessandro Abate

2018

Experimental Biological Protocols with Formal Semantics

Alessandro Abate

2018

Multi-unit Bilateral Trade

Paul Goldberg

2018

Prediction of Tidal Currents Using Bayesian Machine Learning

Mike Osborne

2018

Super-multiplicativity and a lower bound for the decay of the signature of a path of finite length

Terry Lyons

2018

Gaussian Process Regression for In-situ Capacity Estimation of Lithium-ion Batteries

Mike Osborne

2018

Adaptive Geometric Learning for Optimization and Sampling

Mike Osborne

2018

Rotation-free Online Handwritten Character Recognition using Dyadic Path Signature Features, Hanging Normalization, and Deep Neural Network

Terry Lyons

2018

Fast Information-theoretic Bayesian Optimisation

Binxin (Robin) Ru and Mike Osborne

2017

Detecting early signs of depressive and manic episodes in patients with bipolar disorder using the signature-based model

Terry Lyons

2017

Battery Capacity Estimation from Partial-Charging Data Using Gaussian Process Regression

Mike Osborne

2017

Empirical Prediction Intervals Improve Energy Forecasting

Patrick McSharry

2017

Distributionally Robust Optimization Techniques in Batch Bayesian Optimization

Mike Osborne

2017

The Numeraire Property and Long-Term Growth Optimality for Drawdown-Constrained Investments

Jan Obłój

2017

Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Fund

Sumudu Watugala and Mathias Kruttli

2017

Risk-Minimisation in Electricity Markets: Fixed Price, Unknown Consumption

Martin Tegnér

2017

Hedging Local Volume Risk Using Forward Markets: Nordic Case Energy Economics

Martin Tegnér

2017

The Fundamental Theorem of Derivatives Trading – Exposition, Extensions and Experiments

Martin Tegnér

2017

Introducing the HFTE Model: A Multi-Species Predator-Prey Ecosystem for High Frequency Quantitative Financial Strategies

Babak Mahdavi-Damghani

2017

High-Dimensional Time Series Prediction Using Kernel-Based Koopman Mode Regression

Jia-Chen Hua

2017

Risk Management with Weighted VaR

Pengyu Wei

2017

Inferring Agent Objectives at Different Scales of a Complex Adaptive System

Dieter Hendricks and Steve Roberts

2017

MiDGaP: Mixture Density Gaussian Processes

Jaleh Zand and Steve Roberts

2017

Reading Tea Leaves: A Neural Network Perspective on Technical Trading

Siddartha Ghoshal and Steve Roberts

2017

Portfolio Optimization in the Context of Cointelated Pairs: Stochastic Differential Equation vs. Machine Learning Approach

Babak Mahdavi-Damghani and Steve Roberts

2017

Deciphering Price Formation in the High Frequency Domain: Systems & Evolutionary Dynamics as Keys for Construction of the High Frequency Trading Ecosystem

Babak Mahdavi-Damghani and Steve Roberts

2017

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation Towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Babak Mahdavi-Damghani and Steve Roberts

2017

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Babak Mahdavi-Damghani and Steve Roberts

2017

Cost-Sensitive Detection with Variational Autoencoders for Environmental Acoustic Sensing

Steve Roberts

2017

Improving Photometric Redshift Estimation Using GPz: size information, post processing and improved photometry.

Steve Roberts

2017

Entropic Determinants of Massive Matrices

Diego Granziol and Steve Roberts

2017

Robust Open-Source Removal of Systematics in Kepler Data

Steve Roberts

2017

Bayesian Heatmaps: Probabilistic Classification with Multiple Unreliable Information Sources

Steve Roberts

2017

Optimal Client Recommendation for Market Makers in Illiquid Financial Products

Steve Roberts

2017

A Novel Approach to Forecasting Financial Volatility with Gaussian Process Envelopes

Steve Roberts and Mike Osborne

2017

Entropic Trace Estimates for Log Determinants

Diego Granziol and Steve Roberts

2017

An Information and Field Theoretic Approach to the Gran Canonical Ensemble

Diego Granziol and Steve Roberts

2017

Bayesian Inference of Log Determinants

Mike Osborne and Steve Roberts

2017

Formal Control Synthesis via Simulation Relations and Behavioural Theory for Discrete-Time Descriptor Systems

Alessandro Abate

2017

Practical Bayesian Optimization for Variable Cost Objectives

Mike Osborne and Steve Roberts

2017

Distribution of Gaussian Process Arc Lengths

Mike Osborne and Steve Roberts

2017

Bayesian Optimisation of Gaussian Processes for Identifying the Deteriorating Patient

Steve Roberts

2017

Identifying Sources of Discrimination Risk in the Life Cycle of Machine Intelligence Applications Under New European Union Regulations

Steve Roberts and Mike Osborne

2017

Lipschitz Optimisation for Lipschitz Interpolation

Jan-Peter Calliess

2017

Learning-Based Nonlinear Model Predictive Control

Jan-Peter Calliess

2017

Learning Heat Diffusion Graphs

Xiaowen Dong

2017

The Rippling Effect of Social Influence in Phone Communication Network

Xiaowen Dong

2017

A signature-based machine learning model for bipolar disorder and borderline personality disorder

Terry Lyons

2017

Alternating Optimisation and Quadrature for Robust Control

Mike Osborne

2017

The signature of a rough path: Uniqueness

Terry Lyons

2016

A Macine Learning Approach to the Prediction of Tidal Currents

Mike Osborne

2016

Characteristic Functions of Measures on Geometric Rough Paths

Terry Lyons

2016

Preconditioning Kernel Matrices

Mike Osborne

2016

Discretely sampled signals and the rough Hoff process

Terry Lyons

2016

Bayesian Optimization for Probabilistic Programs

Mike Osborne

2016

Glasses: Relieving the Myopia of Bayesian Optimisation

Mike Osborne

2016

Robust Trading of Implied Skew

Jan Obłój

2016

Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model

Jan Obłój

2016

The Maximum Maximum of Martingales with given n Marginals

Jan Obłój

2016

The Incentives of Hedge Fund Fees and High-Water Marks

Jan Obłój

2016

Equity Crowdfunding: A New Phenomena

Nir Vulkan

2016

Herding in Equity Crowdfunding

Nir Vulkan

2016

Market Dominance in Bond and CDS Interdealer Networks

Sumudu Watugala

2016

Extracting Predictive Information from Heterogeneous Data Streams Using Gaussian Processes

Siddartha Ghoshal and Steve Roberts

2016

The Statistical Significance of Multivariate Hawkes Processes Fitted to Limit Order Book Data

Dieter Hendricks

2016

Deviations in Expected Price Impact for Small Transaction Volumes Under Fee Restructuring

Dieter Hendricks

2016

Using Real-Time Cluster Configurations of Streaming Asynchronous Features as Online State Decriptors in Financial Markets

Dieter Hendricks

2016

Detecting Intraday Financial Market States Using Temporal Clustering

Dieter Hendricks

2016

High-Speed Detection of Emergent Market Clustering via an Unsupervised Parallel Genetic Algorithm

Dieter Hendricks

2016

A Framework for Assessing the Performance of Pulsar Search Pipelines

Steve Roberts

2016

A Disaster Response System Based on Human-Agent Collectives

Steve Roberts

2016

String and Membrane Gaussian Processes

Steve Roberts

2016

GPz: Non-Stationary Sparse Gaussian Processes for Heteroscedastic Uncertainty Estimation in Photometric Redshift

Steve Roberts

2016

Latent Point Process Allocation

Mike Osborne and Steve Roberts

2016

No-Regret Learning and a Mechanism for Distributed Multiagent Planning

Jan-Peter Calliess

2016

Speculative Trading of Electricity Contracts in Interconnected Locations Energy Economics

Alvaro Cartea

2016

Multi-Modal Image Retrieval with Random Walk on Multi-Layer Graphs

Xiaowen Dong

2016

Learning Laplacian Matrix in Smooth Graph Signal Representations

Xiaowen Dong

2016

The Future of Employment: How Susceptible are Jobs to Computerisation?

Mike Osborne

2016

System for Identifying, Monitoring and Ranking Incidents From Social Media

Xiaowen Dong

2015