Intra-day
trading of the FTSE-100 futures contract using neural networks with wavelet encodings
Hedging a Portfolio of Corporate Bonds with Swap Derivatives Using PCA/EGARCH Yield
Curve Analysis, Advances in Quantitative Asset Management, 2000.
Constructing A Managed Portfolio Of High Frequency LIFFE Futures Positions;
Financial Markets Tick by Tick, 1999.
Managing a Portfolio of Futures Using Wavelet Encoding Neural Networks, Prc. Forecasting
Financial Markets, Fifth International Conference, London, May 1998.
A Trading
System for FTSE-100 Futures Using Neural Networks and Wavelets; BNP Working
Paper in Financial Economics Series, September 1997.
Intra-day Trading of the FTSE-100
Futures Contract Using Neural Networks with Wavelet Encodings, Prc. Forecasting
Financial Markets, Fourth International Conference BNP and Imperial College, London,
May 1997.
Forecasting Level and Volatility of High Frequency Exchange Rate Data, Working Papers
in Financial Economics, No. 9 - March 1996, Chemical Bank, London, (1996).
Use of Neural Network Ensembles for Portfolio Selection and Risk Management, Proc.
Third International Chemical Bank/Imperial College Conference: Forecasting Financial
Markets, London, (1996).
Use of Neural Network Mixture Models for Forecasting and Application To Portfolio
Management, Proc. International Symposium on Forecasting ISF’96, Istanbul, (1996).
Fused Target Recognition Using a Committee of Neural Networks. World Congress on
Neural Networks, July 1995, Washington DC (1995).
Data Fusion for Target Determination Using A Committee Network. The Role of Intelligent
Systems in Defence, Two-day Conference: Royal Aeronautical Society, March 27-28
1995, Oxford (1995).
Use of Bayesian Committees to Identify Infrared Targets. Higher order statistics
and shape representation in signal processing and signal analysis: Joint Meeting
British Machine Vision Association and Royal Statistical Society, 29 May, London,
(1996).
Probabilistic Framework For Tracking Small Objects in Infra-Red Images. Colloquium
on Target tracking and data fusion. November 1996.
Comparison of
Neural Network and Statistical Techniques Using High Frequency Exchange Rate Data;
Working Papers in Financial Economics, No 9, Chase Manhattan Bank, 1995.
Energy
Demand Forecasting Using Neural Nets, London School of Economics, 1993.
A Comparative Study For Forecasting Intra-daily Exchange Rate Data, Proceedings
First International Conference on High Frequency Data in Finance, 1995.
Forecasting Level And Volatility Of Exchange Rates: A Comparative Study, Proceedings
World Congress on Neural Networks WCNN 1995, Washington DC (1995).
Theoretical Reports
Here is a sample of some internal IFS reports on models used in our software
Use of Principal Components
Analysis within Amber for dimension reduction
Use of Canonical Discriminant
Analysis within Amber for dimension reduction
The Multi-Layer Perceptron
and its use within Amber
The Backpropagation Algorithm
and some of its Variants
The need for regularisation
when training feed-forward networks
The use of Bayesian inference
in the training and interpretation of neural network predictors.