In this paper we use the tools and frameworks from Oxford University’s postgraduate diploma in financial strategy to study the performance and benefits of algorithmic trading strategies (algos), and specifically those that use artificial intelligence (AI) and machine learning (ML).We discover...

Algorithmic Differentiation (AD), also known as automatic differentiation, computes the derivative(s) of computer code. It was pioneered by (Giles and Glasserman, 2006) and produces exact derivatives with low latency. AD is well presented in finance, see (Capriotti, 2010), (NAG, n.d.) and...

We present Algorithmic Adjoint Differentiation (AAD), also known as Automatic Adjoint Differentiation, which computes the derivative(s) of computer code. In finance this leads to a relatively new and novel approach, pioneered by (Giles and Glasserman, 2006), to compute financial risks. When...