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

Álvaro Cartea

2022

Canonical Portfolios: Optimal Asset and Signal Combination

Vincent Tan Weng Choon and Stefan Zohren

2022

AI-driven liquidity provision in OTC financial markets

Álvaro Cartea and Patrick Chang

2022

Algorithmic Collusion in Electronic Markets: The Impact of Tick Size

Álvaro Cartea, Patrick Chang and José S. Penalva

2022

Decentralised Finance and Automated Market Making: Execution and Speculation

Álvaro Cartea, Fayçal Drissi and Marcello Monga

2022

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

Álvaro Cartea

2022

Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture

Kieran Wood, Steve Roberts and Stefan Zohren

2022

Graph-based Methods for Forecasting Realized Covariances

Xingyue Pu, Mihai Cucuringu and Xiaowen Dong

2022

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

Álvaro Cartea, Fayçal Drissi and Marcello Monga

2022

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

Sebastian Jaimungal and Álvaro Cartea

2022

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

Felix Drinkall, Stefan Zohren and Janet Pierrehumbert

2022

First Hitting Time Guarantees for Nonlinear Time Series Models

Julien Huang and Jan-Peter Calliess

2021

Neural Policy Learning of Interpretable Trading Strategies using Inductive Prior Knowledge

Fabian Krause and Jan-Peter Calliess

2021

Componentwise Hölder Inference for Robust Learning-Based MPC

Jan-Peter Calliess

2021

Bayesian Topic Regression for Causal Inference

Maximilian Ahrens and Jan-Peter Calliess

2021

Sentiment correlation in financial news networks and associated market movements

Jan-Peter Calliess, Stefan Zohren and Xiaowen Dong

2021

Online learning constrained model predictive control based on double prediction

Jan-Peter Calliess

2021

Recurrent Neural Network Structures for Learning Control Valve Behaviour

Steve Roberts and Jan-Peter Calliess

2021

Extracting Economic Signals from Central Bank Speeches

Maximilian Ahrens

2021

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

Xingyue Pu and Xiaowen Dong

2021

Anomaly Detection for Time Series Using VAE-LSTM Hybrid Model

Steve Roberts

2020

MLRG Deep Curvature

Steve Roberts

2020

DYNOTEARS: Structure Learning from Time-Series Data