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pro vyhledávání: '"De Lataillade, Joachim"'
Autor:
Chaouki, Ayman, Hardiman, Stephen, Schmidt, Christian, Sérié, Emmanuel, de Lataillade, Joachim
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The env
Externí odkaz:
http://arxiv.org/abs/2003.06497
Autor:
de Lataillade, Joachim, Chaouki, Ayman
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the positions space
Externí odkaz:
http://arxiv.org/abs/2003.04646
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch between th
Externí odkaz:
http://arxiv.org/abs/1203.5957
Autor:
Toth, Bence, Lemperiere, Yves, Deremble, Cyril, de Lataillade, Joachim, Kockelkoren, Julien, Bouchaud, Jean-Philippe
Publikováno v:
Physical Review X 1, 021006 (2011)
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow and on th
Externí odkaz:
http://arxiv.org/abs/1105.1694
Autor:
De Lataillade, Joachim
Curry-style system F, ie. system F with no explicit types in terms, can be seen as a core presentation of polymorphism from the point of view of programming languages. This paper gives a characterisation of type isomorphisms for this language, by usi
Externí odkaz:
http://arxiv.org/abs/0705.4228
Autor:
De Lataillade, Joachim
The characterization of second-order type isomorphisms is a purely syntactical problem that we propose to study under the enlightenment of game semantics. We study this question in the case of second-order λ$\mu$-calculus, which can be seen as an ex
Externí odkaz:
http://arxiv.org/abs/0705.4226
Autor:
de Lataillade, Joachim
Publikováno v:
In Annals of Pure and Applied Logic 2008 151(2):115-150
Akademický článek
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Autor:
Rej, Adam1 adamrej@gmail.com, Benichou, Raphael2 raphael.benichou@gmail.com, de Lataillade, Joachim3 joachim.de-lataillade@cfm.fr, Zérah, Gilles4 gilles.zerah@cfm.fr, Bouchaud, Jean-Philippe5 jean-philippe.bouchaud@cfm.fr
Publikováno v:
Risk. Mar2017, Vol. 30 Issue 3, p106-110. 5p.