SZ
Stefan Zohren
cs.LGq-fin.TRq-fin.CPhep-thq-fin.PMstat.MLcs.AIgr-qcmath.MPmath-ph
On Valency
published · living versionsW_ar5nxgt6·v1 · currentpublished
LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models
with George Nigmatulin, Valentin Mohl, Sascha Frey, Kang Li +4
1 version
W_xbqgstd3·v1published
Preprints & journals
121 papers in the corpus · 2006–2026LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models2610.27100v1 · George Nigmatulin, Valentin Mohl, Sascha Frey et al.2026 · 0 citationsarXivon Valency
From Economic Explanation to Performance Improvement in Machine-Learning Portfolios2610.15144v1 · Yunqi Liang, Stefan Zohren, Mihai Cucuringu2026 · 0 citationsarXiv
Taming the Greeks: Option Portfolios with Inductive Biases2609.33767v1 · Wee Ling Tan, Stephen Roberts, Stefan Zohren2026 · 0 citationsarXiv
TimeSage-EV: A Live Benchmark for Agentic Time Series Analysis in Evolving Environments2608.14270v1 · Qingren Yao, Yaxuan Kong, Yuqi Nie et al.2026 · 0 citationsarXiv
In-Network Market Prediction Using Machine Learning and Limit Order Books2608.02424v1 · Xinpeng Hong, Changgang Zheng, Joshua Lilley et al.2026 · 0 citationsarXiv
Stacking the Deck: Tunable Trainability in Stacked LCUs2607.24686v1 · Nikhil Khatri, Stefan Zohren, Gabriel Matos2026 · 0 citationsarXiv
TimeSage-MT: A Multi-Turn Benchmark for Evaluating Agentic Time Series Reasoning2606.01498v1 · Yaxuan Kong, Qingren Yao, Yuqi Nie et al.2026 · 0 citationsarXiv
Macro-aware time series forecasting via hierarchical mixed-frequency attention models2606.00624v1 · Daniel Cunha Oliveira, Kieran Wood, Stefan Zohren et al.2026 · 0 citationsarXiv
DeRegiME: Deep Regime Mixtures for Probabilistic Forecasting under Distribution Shift2605.19231v1 · Kieran Wood, Stefan Zohren, Stephen J. Roberts2026 · 0 citationsarXiv
Toward Expert Investment Teams:A Multi-Agent LLM System with Fine-Grained Trading Tasks2602.23330v1 · Kunihiro Miyazaki, Takanobu Kawahara, Stephen Roberts et al.2026 · 0 citationsarXiv
Evaluating LLMs in Finance Requires Explicit Bias Consideration2602.14233v1 · Yaxuan Kong, Hoyoung Lee, Yoontae Hwang et al.2026 · 1 citationarXiv
ChatMDV: reducing technical barriers in bioinformatics analysis using large language models.42319798 · Kiourlappou, Maria, Todd, Peter, Kong, Yaxuan et al.2026 · 0 citationsGigaScience. 2026;15
DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management2601.05975v1 · Kieran Wood, Stephen J. Roberts, Stefan Zohren2026 · 0 citationsarXiv
JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading2511.02136v1 · Valentin Mohl, Sascha Frey, Reuben Leyland et al.2025 · 2 citations6th ACM International Conference on AI in Finance (ICAIF '25), November 15-18, 2025, Singapore, Singapore. ACM, New York, NY, USA, 9 pages
Fusing Narrative Semantics for Financial Volatility Forecasting2510.20699v1 · Yaxuan Kong, Yoontae Hwang, Marcus Kaiser et al.2025 · 2 citationsarXiv
Signature-Informed Transformer for Asset Allocation2510.03129v3 · Yoontae Hwang, Stefan Zohren2025 · 0 citationsarXiv
Painting the market: generative diffusion models for financial limit order book simulation and forecasting2509.05107v1 · Alfred Backhouse, Kang Li, Jakob Foerster et al.2025 · 0 citationsarXiv
ChatMDV: Democratising Bioinformatics Analysis Using Large Language Models10.1101/2025.08.26.671083v1 · Kiourlappou, M., Todd, P., Kong, Y. et al.2025 · 0 citationsbioRxiv
Trainability of Parametrised Linear Combinations of Unitaries2506.22310v1 · Nikhil Khatri, Stefan Zohren, Gabriel Matos2025 · 0 citationsarXiv
ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books2504.20349v3 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2025 · 0 citationsarXiv
Time-MQA: Time Series Multi-Task Question Answering with Context Enhancement2503.01875v2 · Yaxuan Kong, Yiyuan Yang, Yoontae Hwang et al.2025 · 9 citationsarXiv
Stories that (are) Move(d by) Markets: A Causal Exploration of Market Shocks and Semantic Shifts across Different Partisan Groups2502.14497v1 · Felix Drinkall, Stefan Zohren, Michael McMahon et al.2025 · 2 citationsarXiv
LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data2502.09172v2 · Peer Nagy, Sascha Frey, Kang Li et al.2025 · 0 citationsProceedings of the 42nd International Conference on Machine Learning, Vancouver, Canada. PMLR 267, 2025
When Dimensionality Hurts: The Role of LLM Embedding Compression for Noisy Regression Tasks2502.02199v1 · Felix Drinkall, Janet B. Pierrehumbert, Stefan Zohren2025 · 0 citationsarXiv
Achieving Time Series Reasoning Requires Rethinking Model Design, Tasks Formulation, and Evaluation2502.01477v2 · Yaxuan Kong, Yiyuan Yang, Shiyu Wang et al.2025 · 0 citationsarXiv
Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization2502.00828v1 · Yoontae Hwang, Yaxuan Kong, Stefan Zohren et al.2025 · 1 citationarXiv
Understanding stock market instability via graph auto-encoders.39989468 · Gorduza, Dragos, Zohren, Stefan, Dong, Xiaowen2025 · 4 citationsEPJ data science. 2025;14(1):13
Extracting Alpha from Financial Analyst Networks2410.20597v1 · Dragos Gorduza, Yaxuan Kong, Xiaowen Dong et al.2024 · 0 citationsarXiv
DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions.39410924 · Moreno-Pino, Fernando, Zohren, Stefan2024 · 25 citationsQuantitative finance. 2024;24(8):1105-1127
Unlocking the Power of LSTM for Long Term Time Series Forecasting2408.10006v2 · Yaxuan Kong, Zepu Wang, Yuqi Nie et al.2024 · 85 citationsarXiv
Deep Learning for Options Trading: An End-To-End Approach2407.21791v1 · Wee Ling Tan, Stephen Roberts, Stefan Zohren2024 · 3 citationsICAIF '24: Proceedings of the 5th ACM International Conference on AI in Finance, 2024
Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs2407.17624v2 · Felix Drinkall, Janet B. Pierrehumbert, Stefan Zohren2024 · 0 citationsarXiv
Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management2407.13751v1 · Yoontae Hwang, Stefan Zohren, Yongjae Lee2024 · 0 citationsarXiv
A Survey of Large Language Models for Financial Applications: Progress, Prospects and Challenges2406.11903v1 · Yuqi Nie, Yaxuan Kong, Xiaowen Dong et al.2024 · 36 citationsarXiv
Time Machine GPT2404.18543v1 · Felix Drinkall, Eghbal Rahimikia, Janet B. Pierrehumbert et al.2024 · 6 citationsarXiv
Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies2310.10500v2 · Kieran Wood, Samuel Kessler, Stephen J. Roberts et al.2023 · 4 citationsarXiv
Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets.37818429 · Nagy, Peer, Calliess, Jan-Peter, Zohren, Stefan2023 · 12 citationsFrontiers in artificial intelligence. 2023;6:1151003
Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models2309.08800v1 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2023 · 3 citationsarXiv
On statistical arbitrage under a conditional factor model of equity returns2309.02205v1 · Trent Spears, Stefan Zohren, Stephen Roberts2023 · 0 citationsarXiv
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading2308.13289v1 · Sascha Frey, Kang Li, Peer Nagy et al.2023 · 10 citationsarXiv
Learning to Learn Financial Networks for Optimising Momentum Strategies2308.12212v1 · Xingyue Pu, Stefan Zohren, Stephen Roberts et al.2023 · 1 citationarXiv
Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network2309.00638v1 · Peer Nagy, Sascha Frey, Silvia Sapora et al.2023 · 16 citationsarXiv
Network Momentum across Asset Classes2308.11294v1 · Xingyue Pu, Stephen Roberts, Xiaowen Dong et al.2023 · 3 citationsarXiv
Wisdom of the Crowds or Ignorance of the Masses? A data-driven guide to WSB2308.09485v1 · Valentina Semenova, Dragos Gorduza, William Wildi et al.2023 · 0 citationsarXiv
Multi-Factor Inception: What to Do with All of These Features?2307.13832v1 · Tom Liu, Stefan Zohren2023 · 1 citationarXiv
Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies2307.05522v1 · Tom Liu, Stephen Roberts, Stefan Zohren2023 · 5 citationsarXiv
Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers2306.05479v1 · Alvaro Arroyo, Alvaro Cartea, Fernando Moreno-Pino et al.2023 · 27 citationsarXiv
On Sequential Bayesian Inference for Continual Learning.37372228 · Kessler, Samuel, Cobb, Adam, Rudner, Tim G J et al.2023 · 7 citationsEntropy (Basel, Switzerland). 2023;25(6)
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models2305.06704v3 · Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff et al.2023 · 7 citationsarXiv
Spatio-Temporal Momentum: Jointly Learning Time-Series and Cross-Sectional Strategies2302.10175v1 · Wee Ling Tan, Stephen Roberts, Stefan Zohren2023 · 7 citationsThe Journal of Financial Data Science, Summer 2023
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