output
20072024
most citedThree discussions of the paper "sequential quasi-Monte Carlo sampling", by M. Gerber and N. Chopin

125 citations

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Showing 2016Show all

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q-fin.TR2016

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Caroline Hillairet, Cody Hyndman, Ying Jiao +1

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…

math.ST2016★ 2 cited

Bounds on the prediction error of penalized least squares estimators with convex penalty

Pierre C. Bellec, Alexandre B. Tsybakov

This paper considers the penalized least squares estimator with arbitrary convex penalty. When the observation noise is Gaussian, we show that the prediction error is a subgaussian…