Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Stephen J. Hardiman"'
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:
Physica A: Statistical Mechanics and its Applications. 394:312-319
Stress fluctuations in a model of densely packed disks under steady shear reproduce many features known for complex systems. These include fat-tailed probability distributions, volatility clustering and long-range autocorrelations. Using a rescaling
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b8961c512df40f3c6f826b7abb4ee4d
https://doi.org/10.1016/j.physa.2013.09.044
https://doi.org/10.1016/j.physa.2013.09.044
Publikováno v:
The European Physical Journal B. 71:611-622
We develop a methodology with which to calculate typical network statistics by sampling a network through a random walk. By examining the statistics of degree and return times of walks which return to the same vertex, we can estimate characteristics
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4ceb67fbd6f93908ee8ef21027fa3b4
https://doi.org/10.1140/epjb/e2009-00292-2
https://doi.org/10.1140/epjb/e2009-00292-2
Publikováno v:
The European Physical Journal B. 87
We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D 1 and D 2 provides a route to the charact
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c5446f5e2f29b06b73a4a690d60ff49
https://doi.org/10.1140/epjb/e2014-40599-1
https://doi.org/10.1140/epjb/e2014-40599-1
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the event count in a sufficiently large time window, statistics that are read
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a549f8feda7bead425397aa7b890080c
Autor:
Liran Katzir, Stephen J. Hardiman
Publikováno v:
WWW
Online social networks have become a major force in today's society and economy. The largest of today's social networks may have hundreds of millions to more than a billion users. Such networks are too large to be downloaded or stored locally, even i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3067aa502e7d1d0f820fef7c952ed95e
https://doi.org/10.1145/2488388.2488436
https://doi.org/10.1145/2488388.2488436
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f1c986e8106568aeb26cfb44b237177e
http://arxiv.org/abs/1302.1405
http://arxiv.org/abs/1302.1405
Publikováno v:
New Journal of Physics. 12:105001
We analyze the changes in the market odds of football matches in an online betting exchange, Betfair.com. We identify the statistical differences between the returns that occur when the game play is under way, which we argue are driven by match event
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::839c6641d4b1dd12dfa756ec31166513
https://doi.org/10.1088/1367-2630/12/10/105001
https://doi.org/10.1088/1367-2630/12/10/105001