no code implementations • 5 Sep 2023 • Trent Spears, Stefan Zohren, Stephen Roberts
We study an empirical trading strategy respectful of transaction costs, and demonstrate performance over a long history of 29 years, for both a linear and a non-linear state space model.
no code implementations • 31 Jan 2023 • Trent Spears, Stefan Zohren, Stephen Roberts
We show a relevant, modern case of incorporating machine learning model-derived view and uncertainty estimates, and the impact on portfolio allocation, with an example subsuming Arbitrage Pricing Theory.
no code implementations • 31 Jul 2020 • Trent Spears, Stefan Zohren, Stephen Roberts
In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades.
