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08/18/2023
Multi-Period Portfolio Optimisation Using a Regime-Switching Predictive Framework
Regime-switching poses both problems and opportunities for portfolio man...
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12/04/2022
Axial-LOB: High-Frequency Trading with Axial Attention
Previous attempts to predict stock price from limit order book (LOB) dat...
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10/12/2022
A Novel Multi-Objective Velocity-Free Boolean Particle Swarm Optimization
This paper extends boolean particle swarm optimization to a multi-object...
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09/04/2022
ASTra: A Novel Algorithm-Level Approach to Imbalanced Classification
We propose a novel output layer activation function, which we name ASTra...
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08/24/2022
Improving on the Markov-Switching Regression Model by the Use of an Adaptive Moving Average
Regime detection is vital for the effective operation of trading and inv...
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05/01/2022
Deep vs. Shallow Learning: A Benchmark Study in Low Magnitude Earthquake Detection
While deep learning models have seen recent high uptake in the geoscienc...
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11/10/2021
A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection
This work proposes a novel portfolio management technique, the Meta Port...
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09/28/2021
Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow
Intra-day price variations in financial markets are driven by the sequen...
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03/31/2020
Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
In this paper we propose a deep recurrent architecture for the probabili...
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03/31/2020
Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
In this paper we propose a deep recurrent model based on the order flow ...
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06/28/2018
