Zobrazeno 1 - 10
of 110
pro vyhledávání: '"Igor Halperin"'
Autor:
Antoniya Shivarova
Publikováno v:
Financial Markets and Portfolio Management. 35:555-557
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5722c9d4393b9088e2e164d13f3e554
https://doi.org/10.1007/s11408-021-00389-1
https://doi.org/10.1007/s11408-021-00389-1
Autor:
Igor Halperin
Publikováno v:
Quantitative Finance. 22:2151-2154
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2262851469f1b0ac74d86f2740bdc0a
https://doi.org/10.1080/14697688.2022.2135456
https://doi.org/10.1080/14697688.2022.2135456
Publikováno v:
The Journal of Alternative Investments. 25:28-39
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d8d2af37edb8160674e065e4ca8c0931
https://doi.org/10.3905/jai.2022.1.178
https://doi.org/10.3905/jai.2022.1.178
Autor:
Coqueret, Guillaume1 (AUTHOR)
Publikováno v:
Quantitative Finance. Jan2021, Vol. 21 Issue 1, p9-10. 2p.
Autor:
Igor Halperin
Publikováno v:
The Journal of Derivatives. 28:99-122
This article presents a discrete-time option pricing model that is rooted in reinforcement learning (RL), and more specifically in the famous Q-Learning method of RL. We construct a risk-adjusted Markov Decision Process for a discrete-time version of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72f93fc55b4e4e084a62230ec7e945f7
https://doi.org/10.3905/jod.2020.1.108
https://doi.org/10.3905/jod.2020.1.108
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::46741e4dedd86e2c530a6255d6172fc7
https://doi.org/10.2139/ssrn.4002715
https://doi.org/10.2139/ssrn.4002715
Publikováno v:
Practical Applications. :pa.2023.jaipa068
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4124f13b0f6e298d733d4a7a30af25c7
https://doi.org/10.3905/pa.2023.jaipa068
https://doi.org/10.3905/pa.2023.jaipa068
Autor:
Shivarova, Antoniya
Publikováno v:
Financial Markets & Portfolio Management; Dec2021, Vol. 35 Issue 4, p555-557, 3p
Autor:
Igor Halperin
Publikováno v:
Machine Learning and AI in Finance ISBN: 9781003145714
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dfcdbe32d8942d3eeb89cfca4613d2e0
https://doi.org/10.4324/9781003145714-10
https://doi.org/10.4324/9781003145714-10
Autor:
Igor Halperin
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 594:127065
This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach. Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::877bf545f02e4d1628b437bfa2810265
https://doi.org/10.1016/j.physa.2022.127065
https://doi.org/10.1016/j.physa.2022.127065