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Found 2 papers, 1 papers with code
A Data-driven Market Simulator for Small Data Environments
Neural network based data-driven market simulation unveils a new and flexible way of modelling financial time series without imposing assumptions on the underlying stochastic dynamics.
Deep Hedging
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods.
Computational Finance Numerical Analysis Optimization and Control Probability Risk Management 91G60, 65K99
