Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Emmanuel Sérié"'
Publikováno v:
Journal of Finance and Data Science, Vol 6, Iss , Pp 16-30 (2020)
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:
https://doaj.org/article/81017f6f729046e6ad4ff5876a37b0ec
Publikováno v:
Journal of Finance and Data Science, Vol 6, Iss, Pp 16-30 (2020)
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f0f93a0d88cfec1201ed0f6e0c872ce2
http://www.sciencedirect.com/science/article/pii/S2405918820300118
http://www.sciencedirect.com/science/article/pii/S2405918820300118
Publikováno v:
The Journal of Portfolio Management. 45:58-68
The authors find that when measured in terms of dollar-turnover, and once β and low volatility (low-vol) is neutralized, the size effect is alive and well. With a long-term t -statistic of 5.1, the cold-minus-hot (CMH) anomaly is certainly not less
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb9216bf2f79f58ad8a67d1b3627d62b
https://doi.org/10.3905/jpm.2019.1.086
https://doi.org/10.3905/jpm.2019.1.086
Autor:
Marc Potters, Jean-Philippe Bouchaud, Raphael Benichou, Emmanuel Sérié, Yves Lemperiere, Julien Kockelkoren, Philip Seager
Publikováno v:
The Journal of Investment Strategies. 6:1-12
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only, leading ''Eigenrisk Parity'' portfolios that ach
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b44c305913f875c2d3f0e318db4bbb18
https://doi.org/10.21314/jois.2017.083
https://doi.org/10.21314/jois.2017.083
We find that when measured in terms of dollar-turnover, and once $\beta$-neutralised and Low-Vol neutralised, the Size Effect is alive and well. With a long term t-stat of $5.1$, the "Cold-Minus-Hot" (CMH) anomaly is certainly not less significant th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c92853517310f0ae72454647ec76338
Publikováno v:
SSRN Electronic Journal.
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::914f848dfe66a7c31e6d6c31cf7cf7c1
https://doi.org/10.2139/ssrn.2863925
https://doi.org/10.2139/ssrn.2863925
Publikováno v:
In Journal of Economic Dynamics and Control March 2020 112
Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consi
Autor:
Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault, Charles-Albert Lehalle, Mathieu Rosenbaum
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this importa