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pro vyhledávání: '"Lezmi, Edmond"'
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial
Externí odkaz:
http://arxiv.org/abs/2007.04838
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the
Externí odkaz:
http://arxiv.org/abs/2001.01612
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian o
Externí odkaz:
http://arxiv.org/abs/1903.04841
In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, etc.
Externí odkaz:
http://arxiv.org/abs/1902.07449
Akademický článek
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