S. Roberts

发表

Guidelines for Building a Realistic Algorithmic Trading Market Simulator for Backtesting while Incorporating Market Impact

Babak Mahdavi-Damghani, S. Roberts, 2019, SSRN Electronic Journal.

Addendum on How Many Times Cointelated Pairs Cross Paths

Babak Mahdavi-Damghani, S. Roberts, 2020 .

A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection

Babak Mahdavi-Damghani, S. Roberts, 2019, SSRN Electronic Journal.

A Bottom-up Approach to the Financial Markets

Babak Mahdavi-Damghani, S. Roberts, 2019 .

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling (working paper: version of January 24, 2019)

Babak Mahdavi-Damghani, S. Roberts, 2019 .

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Babak Mahdavi-Damghani, S. Roberts, 2018 .

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Stephen J. Roberts, Babak Mahdavi-Damghani, Babak Mahdavi-Damghani, 2017 .

Deciphering Price Formation in the High Frequency Domain: Systems & Evolutionary Dynamics as keys for construction of the High Frequency Trading Ecosystem. (working paper)

Babak Mahdavi-Damghani, S. Roberts, 2017 .

Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning

Stephen Roberts, Babak Mahdavi-Damghani, Konul Mustafayeva, 2018, Algorithmic Finance.

Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention

Bryan Lim, S. Zohren, S. Roberts, 2021, The Journal of Financial Data Science.

Effects of Incomplete Information: Partial Buyer Information, Optimal Risk Incentivization, and Use of Non-Monotonic Contracts

S. Roberts, 2016 .

An Overview of Gaussian process Regression for Volatility Forecasting

Bingqing Liu, Ivan Kiskin, Stephen Roberts, 2020, 2020 International Conference on Artificial Intelligence in Information and Communication (ICAIIC).

Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies

S. Zohren, S. Roberts, Wee Ling Tan, 2023, The Journal of Financial Data Science.

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Stephen J. Roberts, Babak Mahdavi-Damghani, Babak Mahdavi-Damghani, 2017 .

Agent Motivation and Principal Anticipation: Non-Monotonicity, Intentions, and Other Factors

S. Roberts, Timothy Flannery, 2021, International Journal of the Economics of Business.

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Babak Mahdavi-Damghani, S. Roberts, Konul Mustafayeva, 2017 .