Publications Archive

Brokers and Informed Traders: dealing with toxic flow and extracting trading signals

Canonical Portfolios: Optimal Asset and Signal Combination

AI-driven liquidity provision in OTC financial markets

Algorithmic Collusion in Electronic Markets: The Impact of Tick Size

Decentralised Finance and Automated Market Making: Execution and Speculation

Brokers and Informed Traders: dealing with toxic flow and extracting trading signals

Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture

Graph-based Methods for Forecasting Realized Covariances

Decentralised Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

Forecasting COVID-19 Caseloads Using Unsupervised Embedding Clusters of Social Media Posts

First Hitting Time Guarantees for Nonlinear Time Series Models

Neural Policy Learning of Interpretable Trading Strategies using Inductive Prior Knowledge

Componentwise Hölder Inference for Robust Learning-Based MPC

Bayesian Topic Regression for Causal Inference

Sentiment correlation in financial news networks and associated market movements

Online learning constrained model predictive control based on double prediction

Recurrent Neural Network Structures for Learning Control Valve Behaviour

Extracting Economic Signals from Central Bank Speeches

Kernel-based Graph Learning from Smooth Signals: A Functional Viewpoint

Anomaly Detection for Time Series Using VAE-LSTM Hybrid Model

MLRG Deep Curvature

DYNOTEARS: Structure Learning from Time-Series Data