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 • 16 Feb 2020 • Jiali Xu, Qian Yin, Ping Guo, Xin Zheng
At the same time, the spectrum extraction results before and after calibration are compared, results show the characteristics of the extracted one-dimensional waveform are more close to an ideal optics system, and the PSF of the corrected object spectrum image estimated by the blind deconvolution method is nearly central symmetry, which indicates that our proposed method can significantly reduce the complexity of spectrum extraction and improve extraction accuracy.
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.