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Thesis

Topics in Bayesian machine learning for finance

Abstract:

This thesis presents novel Bayesian machine learning-based approaches to selected problems in finance. We investigate and model perceived market inefficiencies with respect to curated financial data sets, then assess market trading and investment strategies, yielding the following three contributions.

Firstly, we consider a modern deep learning prediction model given intraday limit order book data constituting of a subset of Eurodollar futures contracts, the popular and liquidly...

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Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Sub department:
Engineering Science
Research group:
Machine Learning Research Group
Oxford college:
Kellogg College
Role:
Author

Contributors

Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Sub department:
Engineering Science
Research group:
Machine Learning Research Group
Oxford college:
Somerville College
Role:
Supervisor
Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Sub department:
Engineering Science
Research group:
Machine Learning Research Group
Oxford college:
Worcester College
Role:
Supervisor

DOI:
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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