no code implementations • 5 Jun 2018 • Greg Kirczenow, Ali Fathi, Matt Davison
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields.
1 code implementation • 24 Aug 2020 • Masoud Hashemi, Ali Fathi
We propose a model criticism and explanation framework based on adversarially generated counterfactual examples for tabular data.
no code implementations • 22 Oct 2020 • Yaser Faghan, Nancirose Piazza, Vahid Behzadan, Ali Fathi
Deep Reinforcement Learning (DRL) has become an appealing solution to algorithmic trading such as high frequency trading of stocks and cyptocurrencies.
no code implementations • 16 Feb 2023 • Ali Fathi, Bernhard Hientzsch
We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective.