Deep Reinforcement Learning in Cryptocurrency Market Making....
This paper sets forth a framework for deep reinforcement learning as applied to market making (DRLMM) for cryptocurrencies. Two advanced policy gradient-based algorithms were selected as agents to...
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Rethinking privacy in the age of psychological targeting
âPsychological targetingâ is the practice of predicting peopleâs psychological profiles from their digital footprints (e.g. their Facebook profiles, transaction records or Google searches) in...
View ArticleOn the quasi-sure superhedging duality with frictions
Abstract We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the...
View ArticleMoneyScience: Deriscope - Options & Derivatives Pricing and Risk...
Monte Carlo Pricing of any European Structured Product in Excel: Revisiting the Morgan Stanley Trigger Plus 2024 Note https://t.co/7S38R0s2aW â moneyscienceâ¦
View ArticleMoneyScience: The Theory of Speculation (pdf, 1900, translated)
Resource: The Theory of Speculation (pdf, 1900, translated) https://t.co/NycA6azr4S â moneyscience (@moneyscience) November 21, 2019
View ArticleIcahn Loses Match: Knocked Out on A Books-and-Records Issue
The phrase âbooks and recordsâ hardly suggests excitement. Yet, the cliched corporate lawyersâ phrase is not without payoff, either. Activist hedge funds are always interested in ammunition that...
View ArticleSimple Explicit Formula for Near-Optimal Stochastic Lifestyling....
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value...
View ArticleBerk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified...
We develop an equilibrium framework that relaxes the standard assumption that people have a correctly-specified view of their environment. Each player is characterized by a (possibly misspecified)...
View ArticleSome analytically solvable problems of the mean-field games theory....
We study the mean field games equations, consisting of the coupled Kolmogorov-Fokker-Planck and Hamilton-Jacobi-Bellman equations. The equations are complemented by initial and terminal conditions. It...
View ArticleMulti-Scale RCNN Model for Financial Time-series Classification....
Financial time-series classification (FTC) is extremely valuable for investment management. In past decades, it draws a lot of attention from a wide extent of research areas, especially Artificial...
View ArticleBounded Temporal Fairness for FIFO Financial Markets. (arXiv:1911.09209v1...
Financial exchange operators cater to the needs of their users while simultaneously ensuring compliance with the financial regulations. In this work, we focus on the operators' commitment for fair...
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Bedy Yang: ‘Corporations often come from a place of fear of being...
Companies that call themselves global do not always count on multicultural employees in their top leadership ranks. We cannot say that about 500 Startups, one of the most active venture capital firms...
View ArticleGlobal investigation on the country-level idiosyncratic volatility and its...
Publication date: Available online 22 November 2019Source: Journal of Empirical FinanceAuthor(s): Mustafa Onur Caglayan, Wenjun Xue, Liwen ZhangAbstractAdapting the FamaâFrench three-factor model to...
View ArticleMoneyScience: The Curious Investor - AQR Podcast
Resource: The Curious Investor - AQR Podcast https://t.co/x4CSd3aq37 â moneyscience (@moneyscience) November 22, 2019
View ArticleMoneyScience: Flirting with Models Podcast
Resource: Flirting with Models Podcast https://t.co/KQB9FfdDHZ â moneyscience (@moneyscience) November 22, 2019
View ArticlePathwise superhedging on prediction sets
Abstract In this paper, we provide a pricingâhedging duality for the model-independent superhedging price with respect to a prediction set (Xi subseteq C[0,T]), where the superhedging property needs...
View ArticleMoneyScience: Chat with Traders Podcast
Resource: Chat with Traders Podcast https://t.co/R5O8NltOIb â moneyscience (@moneyscience) November 22, 2019
View ArticleMoneyScience: QuantsPortal Blog
Resource: QuantsPortal Blog https://t.co/Lg7BBMt15P â moneyscience (@moneyscience) November 22, 2019
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