WOWCHEMY

Kieran Wood is a DPhil candidate at the University of Oxford, where he is part of the Machine Learning Research Group and a member of the Oxford Man Institute of Quantitative Finance. His core research interests lie in using deep learning for time-series forecasting, with a focus on momentum trading. Kieran is supervised by Prof. Stephen Roberts and Prof. Stefan Zohren. Additionally, Kieran works at IQUW, a new data-driven insurance company, as Portfolio Optimisation Lead, Portfolio Management. Previously, Kieran was at Guy Carpenter, as Vice President in Analytics Modernisation and Data Science... We introduce the Momentum Transformer, an attention-based deep learning architecture which outperforms benchmark momentum and mean-reversion trading strategies. Unlike state-of-the-art Long Short-Term Memory (LSTM) architectures, which are sequential in nature, the attention mechanism provides our architecture with a direct connection to all previous time-steps. Our architecture enables us..

Primary location: Well United Kingdom