Publications

Journal Papers

Zhang, Zihao, Stefan Zohren. “Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units .” https://arxiv.org/abs/2105.10430

Zhang, Zihao, Bryan Lim, and Stefan Zohren. “Deep Learning for Market by Order Data .” https://arxiv.org/abs/2102.08811

Zhang, Zihao, Stefan Zohren, and Stephen Roberts. “Deep Learning for Portfolio Optimization.” The Journal of Financial Data Science May 2020. https://arxiv.org/abs/2005.13665

Zhang, Zihao, Stefan Zohren, and Stephen Roberts. “Deep Reinforcement Learning for Trading.” The Journal of Financial Data Science Mar 2020. https://arxiv.org/abs/1911.10107

Zhang, Zihao, Stefan Zohren, and Stephen Roberts. “DeepLOB: Deep convolutional neural networks for limit order books.” IEEE Transactions on Signal Processing 67, no. 11 (2019): 3001-3012. https://arxiv.org/abs/1808.03668

Workshop Papers

Zhang, Zihao, Stefan Zohren, and Stephen Roberts. “Extending Deep Learning Models for Limit Order Books to Quantile Regression.” Proceedings of Time Series Workshop of the 36 th International Conference on Machine Learning, Long Beach, California, PMLR 97, 2019. https://arxiv.org/abs/1906.04404

Zhang, Zihao, Stefan Zohren, and Stephen Roberts. “BDLOB: Bayesian deep convolutional neural networks for limit order book.” Third workshop on Bayesian Deep Learning (NeurIPS 2018), Montréal, Canada. https://arxiv.org/abs/1811.10041