no code implementations • 27 Feb 2024 • Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets.
no code implementations • 14 Dec 2023 • Konark Jain, Nick Firoozye, Jonathan Kochems, Philip Treleaven
We propose a novel methodology of using Compound Hawkes Process for the LOB where each event has an order size sampled from a calibrated distribution.
no code implementations • 12 Jan 2022 • Gabriel Borrageiro, Nick Firoozye, Paolo Barucca
We demonstrate a novel application of online transfer learning for a digital assets trading agent.
no code implementations • 10 Oct 2021 • Gabriel Borrageiro, Nick Firoozye, Paolo Barucca
We explore online inductive transfer learning, with a feature representation transfer from a radial basis function network formed of Gaussian mixture model hidden processing units to a direct, recurrent reinforcement learning agent.
no code implementations • 15 Mar 2021 • Gabriel Borrageiro, Nick Firoozye, Paolo Barucca
Financial time series are characterised by their nonstationarity and autocorrelation.
2 code implementations • 7 Apr 2020 • Adriano Koshiyama, Sebastian Flennerhag, Stefano B. Blumberg, Nick Firoozye, Philip Treleaven
The encoder transforms market-specific data into an abstract latent representation that is processed by a global model shared by all markets, while the decoder learns a market-specific trading strategy based on both local and global information from the market-specific encoder and the global model.
no code implementations • 7 Jan 2019 • Adriano Koshiyama, Nick Firoozye, Philip Treleaven
Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion.
no code implementations • 4 Oct 2018 • Adriano Soares Koshiyama, Nick Firoozye, Philip Treleaven
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis.