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Found 27 papers, 1 papers with code
Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
This work presents the first theoretical integration of factor structure with diffusion models, offering a principled approach for high-dimensional financial simulation with limited data.
Stochastic Control for Fine-tuning Diffusion Models: Optimality, Regularity, and Convergence
To bridge this gap, we propose a stochastic control framework for fine-tuning diffusion models.
Multi-Task Dynamic Pricing in Credit Market with Contextual Information
We show that the regret of our policy is better than both the policy that treats each security individually and the policy that treats all securities as the same.
Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic trading activities through a game-theoretic perspective, examining market interactions among different types of participants.
Exploratory Optimal Stopping: A Singular Control Formulation
To encourage exploration and facilitate learning, we introduce a regularized version of the problem by penalizing it with the cumulative residual entropy of the randomized stopping time.
Inference of Utilities and Time Preference in Sequential Decision-Making
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities.
Neural Network-Based Score Estimation in Diffusion Models: Optimization and Generalization
Our analysis is grounded in a novel parametric form of the neural network and an innovative connection between score matching and regression analysis, facilitating the application of advanced statistical and optimization techniques.
Fast Policy Learning for Linear Quadratic Control with Entropy Regularization
This paper proposes and analyzes two new policy learning methods: regularized policy gradient (RPG) and iterative policy optimization (IPO), for a class of discounted linear-quadratic control (LQC) problems over an infinite time horizon with entropy regularization.
Risk-sensitive Markov Decision Process and Learning under General Utility Functions
In this paper, we consider a scenario where the decision-maker seeks to optimize a general utility function of the cumulative reward in the framework of a Markov decision process (MDP).
Policy Gradient Converges to the Globally Optimal Policy for Nearly Linear-Quadratic Regulators
Nonlinear control systems with partial information to the decision maker are prevalent in a variety of applications.
Asymptotic Analysis of Deep Residual Networks
We investigate the asymptotic properties of deep Residual networks (ResNets) as the number of layers increases.
Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing
Then, we rigorously analyze their near-optimal regret upper bounds to show that, by leveraging the linear structure, our algorithms can dramatically reduce the regret when compared to existing methods.
Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks
We prove linear convergence of gradient descent to a global optimum for the training of deep residual networks with constant layer width and smooth activation function.
Tail-GAN: Learning to Simulate Tail Risk Scenarios
The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components, with particular importance devoted to the simulation of tail risk scenarios.
Recent Advances in Reinforcement Learning in Finance
In contrast to classical stochastic control theory and other analytical approaches for solving financial decision-making problems that heavily reply on model assumptions, new developments from reinforcement learning (RL) are able to make full use of the large amount of financial data with fewer model assumptions and to improve decisions in complex financial environments.
Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach
This paper proposes a framework of localized training and decentralized execution to study MARL with network of states.
Multi-agent Reinforcement Learning
reinforcement-learning
+2
Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
We consider a general-sum N-player linear-quadratic game with stochastic dynamics over a finite horizon and prove the global convergence of the natural policy gradient method to the Nash equilibrium.
Scaling Properties of Deep Residual Networks
Residual networks (ResNets) have displayed impressive results in pattern recognition and, recently, have garnered considerable theoretical interest due to a perceived link with neural ordinary differential equations (neural ODEs).
Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
In particular, we consider the convergence of policy gradient methods in the setting of known and unknown parameters.
Model-free Analysis of Dynamic Trading Strategies
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a trading signal away from a reference level.
Entropy Regularization for Mean Field Games with Learning
In addition, this study leads to a policy-gradient algorithm for exploration in MFG.
A General Framework for Learning Mean-Field Games
This paper presents a general mean-field game (GMFG) framework for simultaneous learning and decision-making in stochastic games with a large population.
Delay-Adaptive Learning in Generalized Linear Contextual Bandits
In this paper, we consider online learning in generalized linear contextual bandits where rewards are not immediately observed.
Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis
Multi-agent reinforcement learning (MARL), despite its popularity and empirical success, suffers from the curse of dimensionality.
Learning in Generalized Linear Contextual Bandits with Stochastic Delays
In this paper, we consider online learning in generalized linear contextual bandits where rewards are not immediately observed.
Transaction Cost Analytics for Corporate Bonds
This part is on the time scale of each transaction of liquid corporate bonds, and is by applying a transient impact model to estimate the price impact kernel using a non-parametric method.
A class of stochastic games and moving free boundary problems
In this paper we propose and analyze a class of $N$-player stochastic games that include finite fuel stochastic games as a special case.
