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...
View ArticleClik here to view.
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 ArticleMoneyScience: 'P' Versus 'Q': Differences and Commonalities between the Two...
Resource: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance https://t.co/2QkmyNgzb1 â moneyscience (@moneyscience)â¦
View ArticleMoneyScience: Advances in Financial Machine Learning (Chapter 1)
Resource: Advances in Financial Machine Learning (Chapter 1) https://t.co/QoLOEtKXLm â moneyscience (@moneyscience) November 22, 2019
View ArticleClik here to view.
Economic insecurity breeds support for the right
Economic insecurity is attracting growing attention in social, academic, and policy circles. It has arguably risen for a number of reasons in recent years: the Great Recession (with its associated job...
View ArticleIs MBS Investing Picking up Steam? | Derivatives Risk Management Software...
Thereâs no doubt that mortgage-backed securities (MBS) are gaining in popularity. In our latest blog, FINCADâs Eric Peng discusses the challenges and rewards ofâ¦
View ArticleSubscribe to read | Financial Times
How quants and QE shook the cult of the stockpicker Active investors see their strategies automated while passive alternatives getâ¦
View Article