Nick Firoozye

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All published works

Action	Title	Year	Authors
+	Limit order book dynamics and order size modelling using Compound Hawkes Process	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+ PDF Chat	Limit Order Book Simulations: A Review	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+ PDF Chat	Limit Order Book Simulations: A Review	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+ PDF Chat	Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+ PDF Chat	Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+ PDF Chat	Canonical portfolios: Optimal asset and signal combination	2023	Nick Firoozye Vincent Tan Stefan Zohren
+	Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process	2023	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven
+	Online Learning with Radial Basis Function Networks	2022	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+ PDF Chat	Sequential asset ranking in nonstationary time series	2022	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+ PDF Chat	Canonical Portfolios: Optimal Asset and Signal Combination	2022	Nick Firoozye Vincent Tan Stefan Zohren
+ PDF Chat	The Recurrent Reinforcement Learning Crypto Agent	2022	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Canonical Portfolios: Optimal Asset and Signal Combination	2022	Vincent Y. F. Tan Nick Firoozye Stefan Zohren
+ PDF Chat	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Reinforcement Learning for Systematic FX Trading	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+	Online Learning with Radial Basis Function Networks	2021	Gabriel Borrageiro Nick Firoozye Paolo Barucca
+ PDF Chat	Generative adversarial networks for financial trading strategies fine-tuning and combination	2020	Adriano Koshiyama Nick Firoozye Philip Treleaven
+	QuantNet: Transferring Learning Across Systematic Trading Strategies	2020	Adriano Koshiyama Sebastian Flennerhag Stefano B. Blumberg Nick Firoozye Philip Treleaven
+ PDF Chat	Optimal dynamic strategies on Gaussian returns	2020	Nick Firoozye Adriano Koshiyama
+	QuantNet: Transferring Learning Across Systematic Trading Strategies	2020	Adriano Koshiyama Sebastian Flennerhag Stefano B. Blumberg Nick Firoozye Philip Treleaven
+ PDF Chat	Avoiding Backtesting Overfitting by Covariance-Penalties: <i>An Empirical Investigation of the Ordinary and Total Least Squares Cases</i>	2019	Adriano Koshiyama Nick Firoozye
+	Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases	2019	Adriano Koshiyama Nick Firoozye
+	Generative Adversarial Networks for Financial Trading Strategies Fine-Tuning and Combination	2019	Adriano Koshiyama Nick Firoozye Philip Treleaven
+	Optimal Dynamic Strategies on Gaussian Returns	2019	Nick Firoozye Adriano Koshiyama
+ PDF Chat	Optimal Dynamic Strategies on Gaussian Returns	2019	Nick Firoozye Adriano Koshiyama
+	Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases	2019	Adriano Koshiyama Nick Firoozye
+	A Machine Learning-based Recommendation System for Swaptions Strategies.	2018	Adriano Koshiyama Nick Firoozye Philip Treleaven
+	A Machine Learning-based Recommendation System for Swaptions Strategies	2018	Adriano Koshiyama Nick Firoozye Philip Treleaven
+ PDF Chat	Avoiding Backtesting Overfitting by Covariance-Penalties: An Empirical Investigation of the Ordinary and Total Least Squares Cases	2018	Adriano Koshiyama Nick Firoozye
+	Probability: The Building Blocks	2016	Nick Firoozye Fauziah Ariff
+ PDF Chat	𝑛-Laplacian in ℋ¹_{}𝓁ℴ𝒸 does not lead to regularity	1995	Nick Firoozye
+	Restrictions on microstructure	1994	Kaushik Bhattacharya Nick Firoozye Richard D. James Robert V. Kohn
+	Homogenization on lattices: Small parameter limits, H-measures, and discrete Wigner measures	1993	Nick Firoozye

Common Coauthors

Coauthor	Papers Together
Adriano Koshiyama	13
Philip Treleaven	12
Paolo Barucca	10
Gabriel Borrageiro	10
Jonathan Kochems	6
K. C. Jain	6
Stefan Zohren	3
Sebastian Flennerhag	2
Vincent Tan	2
Stefano B. Blumberg	2
Vincent Y. F. Tan	1
Robert V. Kohn	1
Fauziah Ariff	1
Richard D. James	1
Kaushik Bhattacharya	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	An Analysis of the Total Least Squares Problem	1980	Gene H. Golub Charles F. Van Loan	9
+	Playing Atari with Deep Reinforcement Learning	2013	Volodymyr Mnih Koray Kavukcuoglu David Silver Alex Graves Ioannis Antonoglou Daan Wierstra Martin Riedmiller	7
+	Deep Reinforcement Learning for Trading	2020	Zihao Zhang Stefan Zohren Stephen Roberts	6
+	Minimum Message Length and Kolmogorov Complexity	1999	Christopher S. Wallace	6
+	Asynchronous Methods for Deep Reinforcement Learning	2016	Volodymyr Mnih Adrià Puigdomènech Badia Mehdi Mirza Alex Graves Tim Harley Timothy Lillicrap David Silver Koray Kavukcuoglu	6
+	Properties of the total least squares estimation	2012	Leyang Wang	6
+ PDF Chat	Overview of total least-squares methods	2007	Ivan Markovsky Sabine Van Huffel	5
+ PDF Chat	High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration	2018	Xiaofei Lu Frédéric Abergel	4
+	Ergodicity and Scaling Limit of a Constrained Multivariate Hawkes Process	2013	Ban Zheng François Roueff Frédéric Abergel	4
+	Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling	2017	Emmanuel Bacry Martin Bompaire Stéphane Gaïffas Søren Vigild Poulsen	4
+	Online Learning with Radial Basis Function Networks	2021	Gabriel Borrageiro	4
+ PDF Chat	Efficient computation of adjusted <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" display="inline" overflow="scroll"><mml:mi>p</mml:mi></mml:math>-values for resampling-based stepdown multiple testing	2016	Joseph P. Romano Michael Wolf	4
+	Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing	1995	Yoav Benjamini Yosef Hochberg	4
+	Hawkes processes and their applications to finance: a review	2017	Alan G. Hawkes	4
+ PDF Chat	Long-Time Behavior of a Hawkes Process--Based Limit Order Book	2015	Frédéric Abergel Aymen Jedidi	4
+	Hawkes model specification for limit order books	2020	Matthias Kirchner Silvan Vetter	4
+ PDF Chat	Hawkes Processes in Finance	2015	Emmanuel Bacry Iacopo Mastromatteo J. F. Muzy	4
+	Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit	2013	José Da Fonseca Riadh Zaatour	4
+ PDF Chat	An estimation procedure for the Hawkes process	2016	Matthias Kirchner	4
+ PDF Chat	Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing	2005	Joseph P. Romano Michael Wolf	4
+	Queue-reactive Hawkes models for the order flow	2019	Peng Wu Marcello Rambaldi Jean–François Muzy Emmanuel Bacry	4
+ PDF Chat	Stepwise Multiple Testing as Formalized Data Snooping	2005	Joseph P. Romano Michael Wolf	4
+	Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics	2016	Emmanuel Bacry Thibault Jaisson Jean–François Muzy	4
+ PDF Chat	A Scaling Limit for Limit Order Books Driven by Hawkes Processes	2019	Ulrich Horst Wei Xu	4
+	Moments of the Distributions of Powers and Products of Normal Variates	1942	J. B. S. Haldane	4
+	A buffer Hawkes process for limit order books	2017	Ingemar Kaj Mine Çağlar	4
+ PDF Chat	FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES	2007	Joseph P. Romano Azeem M. Shaikh Michael Wolf	4
+	Estimation of an Order Book Dependent Hawkes Process for Large Datasets	2023	Luca Mucciante Alessio Sancetta	3
+	The moments of products of quadratic forms in normal variables*	1978	Jan R. Magnus	3
+	A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation	2018	Matthias Kirchner A. Bercher	3
+ PDF Chat	Limit Order Book Simulations: A Review	2024	K. C. Jain Nick Firoozye Jonathan Kochems Philip Treleaven	3
+ PDF Chat	State Dependent Parallel Neural Hawkes Process for Limit Order Book Event Stream Prediction and Simulation	2022	Zijian Shi John Cartlidge	3
+	measurement error models	2008	Han Hong	3
+ PDF Chat	Asymptotic Distribution of Quadratic Forms	1999	Friedrich Götze А. Н. Тихомиров	3
+	Uncovering Causality from Multivariate Hawkes Integrated Cumulants	2016	Massil Achab Emmanuel Bacry Stéphane Gaïffas Iacopo Mastromatteo J. F. Muzy	3
+	Online Learning with Radial Basis Function Networks	2022	Gabriel Borrageiro Nick Firoozye Paolo Barucca	3
+	Deep Hawkes Process for High-Frequency Market Making	2021	Pankaj Kumar	3
+	Conditional Generative Adversarial Nets	2014	Mehdi Mirza Simon Osindero	3
+	Analytical and monte carlo comparisons of six different linear least squares fits	1992	G. Jogesh Babu Eric D. Feigelson	3
+ PDF Chat	The role of volume in order book dynamics: a multivariate Hawkes process analysis	2016	Marcello Rambaldi Emmanuel Bacry Fabrizio Lillo	3
+ PDF Chat	Avoiding Backtesting Overfitting by Covariance-Penalties: <i>An Empirical Investigation of the Ordinary and Total Least Squares Cases</i>	2019	Adriano Koshiyama Nick Firoozye	3
+	A general Isserlis theorem for mixed-Gaussian random variables	2011	J. V. Michalowicz Jonathan M. Nichols F. Bucholtz Colin C. Olson	3
+	From asymptotic properties of general point processes to the ranking of financial agents	2019	Othmane Mounjid Mathieu Rosenbaum Pamela Saliba	3
+ PDF Chat	Trend Filtering Methods for Momentum Strategies	2011	Benjamin Bruder Tung-Lam Dao Jean-Charles Richard Thierry Roncalli	3
+	State-dependent Hawkes processes and their application to limit order book modelling	2021	Maxime Morariu-Patrichi Mikko S. Pakkanen	3
+ PDF Chat	Asymptotic expansion in the central limit theorem for quadratic forms	2007	Friedrich Götze А. Н. Тихомиров V. A. Yurchenko	3
+	Comparing measures of sample skewness and kurtosis	1998	D. N. Joanes Christine A. Gill	3
+	Resampling-Based Multiple Testing: Examples and Methods for p-Value Adjustment.	1994	Michael A. Martin Peter H. Westfall S. Stanley Young	3
+	A note on the validity of cross-validation for evaluating autoregressive time series prediction	2017	Christoph Bergmeir Rob Hyndman Bonsoo Koo	2
+ PDF Chat	Generative Adversarial Networks: An Overview	2018	Antonia Creswell Tom White Vincent Dumoulin Kai Arulkumaran Biswa Sengupta Anil A. Bharath	2