This page will hold related research papers by group members (and other Cambridge University) on algorithmic finance and closely related topics, in addition to Part II, Part III, Masters and Doctoral theses.
Published Articles
Clive G. Bowsher, Roland Meeks. The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve. Journal of the American Statistical Association. Vol. 103, No. 484. 1419-1437. Dec 2008.
N.Vvedenskaya, Y.Suhov, V.Belitsky. A non-linear model of limit order book dynamics. ArXiv 1102.1104. Feb 2011.
Ryan Prescott Adams and David MacKay. Bayesian Online Changepoint Detection. ArXiv 0710.3742. Oct 2007.
Hugh Christensen, Richard Turner, Simon Hill, Simon Godsill.
Rebuilding the Limit Order Book: Sequential Bayesian Inference on Hidden States. Quantitative Finance 13 (11), 1779-1799 (2013).
Hugh Christensen, Robert Woodmansey.
Prediction of Hidden Liquidity in the Limit Order Book of GLOBEX Futures. The Journal of Trading 8 (3), 68-95 (2013).
Cambridge University Theses
| Authors Name | Thesis Title | Thesis Level | Department | Supervisor | Year of Submission | PDF Link |
| Yazann Romahi | Learning Techniques in High Frequency Foreign Exchange Trading | PhD | JBS | Prof M Dempster | 2003 | |
| Srikanth Veturi | Evolutionary Algorithms for Currency Trading | PhD | JBS | Prof M Dempster | 2002 | |
| Chris Jones | Automated Technical Foreign Exchange Trading with High Frequency Data | PhD | JBS | Prof M Dempster | 1999 | |
| Vasco Leemans | Modelling Local Order Book Dynamics in Financial Markets | PhD | JBS | Prof M Dempster | 2006 | |
| Weng Sek H'ng | Financial Modelling | CPGS | Div F (Sig Proc) | Prof W Fitzgerald | 2006 | |
| Eng Oh | Bayesian particle filtering for prediction of financial time series | PII | Div F (Sig Proc) | Prof S J Godsill | 2011 | |
| Eric Lai | Machine learning for multivariate financial time series | PII | Div F (CBL) | Prof Z Ghahramani | 2011 | |
| Chloe Efstathiadi | Fitting models to financial time series | PII | Div F | Dr Singh | 2012 | |
| Xiaodong Xu | Bayesian particle filtering for prediction of financial time series | PII | Div F | Prof S Godsill | 2012 | |
| Menglin Wu | Correlation Tracking | PII | Div F | Dr Hill | 2012 | |
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