Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Igor Halperin"'
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:
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:
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
Autor:
Matthew Dixon, Igor Halperin
We present a reinforcement learning approach to goal based wealth management problems such as optimization of retirement plans or target dated funds. In such problems, an investor seeks to achieve a financial goal by making periodic investments in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::347ccfb672478db17db6cbfe3e498634
http://arxiv.org/abs/2002.10990
http://arxiv.org/abs/2002.10990
Publikováno v:
Machine Learning in Finance ISBN: 9783030410674
This chapter introduces Bayesian regression and shows how it extends many of the concepts in the previous chapter. We develop kernel based machine learning methods—specifically Gaussian process regression, an important class of Bayesian machine lea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6960850ab11bda59570834cacfec3503
https://doi.org/10.1007/978-3-030-41068-1_3
https://doi.org/10.1007/978-3-030-41068-1_3
Publikováno v:
Machine Learning in Finance ISBN: 9783030410674
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dbfcd902187f461bf59cb8867340bb0c
https://doi.org/10.1007/978-3-030-41068-1_6
https://doi.org/10.1007/978-3-030-41068-1_6