Zohren, Stefan
- A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges
2024/06/15 by Yuqi Nie, Nie, Yuqi, Yaxuan Kong +11 · 1 voice · 26 citations
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #Stock Market Forecasting Methods #cs.AI #q-fin.CP #q-fin.GN
- Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units
2021/05/21 by Zihao Zhang, Zhang, Zihao, Stefan Zohren +1 · 1 voice · 2 citations
Decision Sciences · Computer Science · Engineering · #Stock Market Forecasting Methods #Time Series Analysis and Forecasting #Energy Load and Power Forecasting
- Unlocking the Power of LSTM for Long Term Time Series Forecasting
2024/08/19 by Yaxuan Kong, Kong, Yaxuan, Zepu Wang +13 · 1 voice · 12 citations
Computer Science · Decision Sciences · #FOS: Computer and information sciences #Machine Learning (cs.LG) #Neural Networks and Applications #Stock Market Forecasting Methods #Time Series Analysis and Forecasting #cs.LG
- Learning Rates as a Function of Batch Size: A Random Matrix Theory Approach to Neural Network Training
2020/06/16 by Diego Granziol, Granziol, Diego, Stefan Zohren +3 · 7 citations
Computer Science · Engineering · Mathematics · #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning and ELM #Random Matrices and Applications #Sparse and Compressive Sensing Techniques #Stochastic Gradient Optimization Techniques
- Deep Reinforcement Learning for Trading
2019/11/22 by Zhang, Zihao, Zohren, Stefan, Roberts, Stephen · 6 citations
#Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Trading and Market Microstructure (q-fin.TR)
- Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network
2023/08/23 by Peer Nagy, Nagy, Peer, Sascha Frey +11 · 9 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Complex Systems and Time Series Analysis
- Time-MQA: Time Series Multi-Task Question Answering with Context Enhancement
2025/02/26 by Yaxuan Kong, Kong, Yaxuan, Yiyuan Yang +13 · 20 citations
Computer Science · #Time Series Analysis and Forecasting #Anomaly Detection Techniques and Applications #Seismology and Earthquake Studies
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
2023/08/25 by Sascha Frey, Frey, Sascha, Kang Li +13 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · #Artificial Intelligence (cs.AI) #Auction Theory and Applications #Complex Systems and Time Series Analysis #Computational Engineering #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)
- Same State, Different Task: Continual Reinforcement Learning without Interference
2021/06/05 by Kessler, Samuel, Parker-Holder, Jack, Ball, Philip +2 · 3 citations
#Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #Machine Learning (cs.LG)
- Fast Agent-Based Simulation Framework with Applications to Reinforcement Learning and the Study of Trading Latency Effects
2020/08/18 by Peter Belcak, Belcak, Peter, Jan-Peter Calliess +3 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · #Auction Theory and Applications #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Multiagent Systems (cs.MA) #Trading and Market Microstructure (q-fin.TR)
- Estimation of Large Financial Covariances: A Cross-Validation Approach
2020/12/10 by Tan, Vincent, Zohren, Stefan · 2 citations
#FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Risk Management (q-fin.RM)
- Hierarchical Indian Buffet Neural Networks for Bayesian Continual Learning
2019/12/04 by Kessler, Samuel, Nguyen, Vu, Zohren, Stefan +1 · 1 citation
#FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML)
- Building Cross-Sectional Systematic Strategies By Learning to Rank
2020/12/13 by Poh, Daniel, Lim, Bryan, Zohren, Stefan +1 · 1 citation
#FOS: Computer and information sciences #FOS: Economics and business #Information Retrieval (cs.IR) #Machine Learning (cs.LG) #Portfolio Management (q-fin.PM) #Trading and Market Microstructure (q-fin.TR)
- Time Machine GPT
2024/04/29 by Drinkall, Felix, Rahimikia, Eghbal, Pierrehumbert, Janet B. +1 · 2 citations
#Computation and Language (cs.CL) #Computational Engineering #FOS: Computer and information sciences #Finance #I.2.1 #I.2.7 #Machine Learning (cs.LG) #and Science (cs.CE)
- A Universal End-to-End Approach to Portfolio Optimization via Deep Learning
2021/11/17 by Chao Zhang, Zhang, Chao, Zihao Zhang +5 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · Engineering · #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Reservoir Engineering and Simulation Methods
- Understanding stock market instability via graph auto-encoders
2022/12/09 by Dragos Gorduza, Gorduza, Dragos, Xiaowen Dong +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #and Science (cs.CE)
- DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions
2022/09/23 by Fernando Moreno-Pino, Moreno-Pino, Fernando, Stefan Zohren +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Stock Market Forecasting Methods #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management
- Achieving Time Series Reasoning Requires Rethinking Model Design, Tasks Formulation, and Evaluation
2025/02/03 by Yaxuan Kong, Yiyuan Yang, Kong, Yaxuan +17 · 3 citations
Computer Science · #Advanced Text Analysis Techniques #Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #Machine Learning (cs.LG) #Natural Language Processing Techniques #Semantic Web and Ontologies
- Wisdom of the Crowds or Ignorance of the Masses? A data-driven guide to WSB
2023/08/18 by Valentina Semenova, Dragos Gorduza, Semenova, Valentina +7 · 1 voice
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Stock Market Forecasting Methods #econ.GN #scientometrics and bibliometrics research
- Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers
2023/06/08 by Arroyo, Alvaro, Cartea, Alvaro, Moreno-Pino, Fernando +1 · 1 citation
#FOS: Economics and business #Statistical Finance (q-fin.ST)
- LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data
2025/02/13 by Peer Nagy, Nagy, Peer, S. Frey +12 · 3 citations
Decision Sciences · #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)
- Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
2023/05/11 by Zhang, Yichi, Cucuringu, Mihai, Shestopaloff, Alexander Y. +1 · 1 citation
#Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Portfolio Management (q-fin.PM) #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
- When Dimensionality Hurts: The Role of LLM Embedding Compression for Noisy Regression Tasks
2025/02/04 by Felix Drinkall, Drinkall, Felix, Janet B. Pierrehumbert +3 · 2 citations
Computer Science · #Computation and Language (cs.CL) #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Neural Networks and Applications #and Science (cs.CE)
- Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies
2023/07/07 by Stephen Roberts, Liu, Tom, Roberts, Stephen +2 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)
- ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books
2025/04/29 by Yichi Zhang, Zhang, Yichi, Mihai Cucuringu +5 · 3 voices · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #q-fin.TR
- Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization
2025/02/02 by Yoontae Hwang, Hwang, Yoontae, Yaxuan Kong +5 · 3 citations
Decision Sciences · Engineering · #Artificial Intelligence (cs.AI) #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Portfolio Management (q-fin.PM) #Reservoir Engineering and Simulation Methods #Stock Market Forecasting Methods