Stephen Roberts

Director and Professor of Machine Learning - Oxford-Man Institute of Quantitative Finance, University of Oxford Co-Founder - Mind Foundry

Stephen Roberts is the Professor of Machine Learning at Oxford University and the Director of Oxford-Man Institute of Quantitative Finance. 

He also co-founded Mind Foundry, which helps businesses harness the potential of their data by turning to Mind Foundry's human augmented machine learning solution for answers. Mind Foundry’s investors include Oxford Sciences Innovation, the Oxford Technology and Innovations Fund, the University of Oxford Innovation Fund and Parkwalk Advisors.

Stephen also studied at Oxford University, where he gained a degree in Physics.

Conference Day One: 16 September 2019

Monday, September 16th, 2019

1:35 PM Enhancing time series momentum strategies using deep neural networks

While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid approach which injects deep learning based trading rules into the volatility scaling framework of time series momentum. The model simultaneously learns both trend and position sizing in a data-driven manner, with networks directly trained by optimising the Sharpe ratio of the signal. Backtesting on a portfolio of 88 continuous futures contracts, we demonstrate that the Sharpe-optimised recurrent neural network improved traditional methods by more than two times in the absence of transactions costs, and continued outperforming even when considering transaction costs up to 2-3 basis points. To account for more illiquid assets, we also propose a turnover regularisation term which trains the network to factor in costs at run-time.

Check out the incredible speaker line-up to see who will be joining Stephen.

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