Sotabase

Career

· Research Assistant, Oxford Internet Institute2021–2024
· Associate Professor, University of Oxford, Engineering Science Department2018–
· Mentor in FinTech stream, Creative Destruction Lab at Said Business School
· Scientific Advisor / Principal Quant, Man Group
· Deputy Director, Oxford-Man Institute of Quantitative Finance

Publications (80)

DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
IEEE Transactions on Signal Processing · 2018
251
cited
Deep Reinforcement Learning for Trading
The Journal of Financial Data Science · 2019
240
cited
Deep Learning for Portfolio Optimization
The Journal of Financial Data Science · 2020
127
cited
Enhancing Time-Series Momentum Strategies Using Deep Neural Networks
The Journal of Financial Data Science · 2019
98
cited
Sentiment correlation in financial news networks and associated market movements
Scientific Reports · 2021
66
cited
A Direct Mapping of Max k-SAT and High Order Parity Checks to a Chimera Graph
Scientific Reports · 2016
65
cited
Learning Rates as a Function of Batch Size: A Random Matrix Theory Approach to Neural Network Training
Journal of machine learning research · 2020
65
cited
Same State, Different Task: Continual Reinforcement Learning without Interference
AAAI Conference on Artificial Intelligence · 2021
55
cited
Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction
IEEE International Joint Conference on Neural Network · 2019
48
cited
Deep Learning for Market by Order Data
Applied Mathematical Finance · 2021
30
cited
Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units
arXiv.org · 2021
28
cited
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
The Journal of Financial Data Science · 2021
28
cited
Hierarchical Indian buffet neural networks for Bayesian continual learning
Conference on Uncertainty in Artificial Intelligence · 2019
26
cited
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture
arXiv.org · 2021
26
cited
Building Cross-Sectional Systematic Strategies by Learning to Rank
The Journal of Financial Data Science · 2020
25
cited
A Universal End-to-End Approach to Portfolio Optimization via Deep Learning
2021
24
cited
Deep Learning for Portfolio Optimisation
Social Science Research Network · 2020
24
cited
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
International Conference on AI in Finance · 2023
23
cited
MEMe: An Accurate Maximum Entropy Method for Efficient Approximations in Large-Scale Machine Learning
Entropy · 2019
21
cited
BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books
2018
19
cited
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Stefan Zohren | Researcher Profile | Sotabase | Sotabase