no code implementations • 9 Jul 2020 • Edmond Lezmi, Jules Roche, Thierry Roncalli, Jiali Xu
This article explores the use of machine learning models to build a market generator.
no code implementations • 6 Jan 2020 • Pierre Chen, Edmond Lezmi, Thierry Roncalli, Jiali Xu
In this short note, we consider mean-variance optimized portfolios with transaction costs.
no code implementations • 12 Mar 2019 • Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli, Jiali Xu
The second part is dedicated to two financial applications.