Search Results for author: Carmine Ventre

Found 9 papers, 0 papers with code

An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics

no code implementations28 Aug 2023 Haochen Li, Yi Cao, Maria Polukarov, Carmine Ventre

In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data.

Detecting Financial Market Manipulation with Statistical Physics Tools

no code implementations16 Aug 2023 Haochen Li, Maria Polukarova, Carmine Ventre

We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets.

Anomaly Detection

A new encoding of implied volatility surfaces for their synthetic generation

no code implementations23 Nov 2022 Zheng Gong, Wojciech Frys, Renzo Tiranti, Carmine Ventre, John O'Hara, Yingbo Bai

In financial terms, an implied volatility surface can be described by its term structure, its skewness and its overall volatility level.

Management

Error in the Euclidean Preference Model

no code implementations17 Aug 2022 Luke Thorburn, Maria Polukarov, Carmine Ventre

Spatial models of preference, in the form of vector embeddings, are learned by many deep learning and multiagent systems, including recommender systems.

Recommendation Systems

Denoised Labels for Financial Time-Series Data via Self-Supervised Learning

no code implementations19 Dec 2021 Yanqing Ma, Carmine Ventre, Maria Polukarov

Its convenience led to an exponentially increasing amount of financial data, which is however hard to use for the prediction of future prices, due to the low signal-to-noise ratio and the non-stationarity of financial time series.

Denoising Image Classification +3

The Efficient Hedging Frontier with Deep Neural Networks

no code implementations12 Apr 2021 Zheng Gong, Carmine Ventre, John O'Hara

The trade off between risks and returns gives rise to multi-criteria optimisation problems that are well understood in finance, efficient frontiers being the tool to navigate their set of optimal solutions.

Navigate

Cryptocurrency Trading: A Comprehensive Survey

no code implementations25 Mar 2020 Fan Fang, Carmine Ventre, Michail Basios, Leslie Kanthan, Lingbo Li, David Martinez-Regoband, Fan Wu

This paper provides a comprehensive survey of cryptocurrency trading research, by covering 146 research papers on various aspects of cryptocurrency trading (e. g., cryptocurrency trading systems, bubble and extreme conditions, prediction of volatility and return, crypto-assets portfolio construction and crypto-assets, technical trading and others).

Management

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