Bio: I am a DPhil student at the University of Oxford, where I am a member of the Machine Learning Research Group and Oxford Man Institute of Quantitative Finance.
This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (https://arxiv.org/pdf/2105.13727.pdf).
This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).