2 papers
q-fin.PM2023
Reinforcement Learning for Financial Index Tracking
Xianhua Peng, Chenyin Gong, Xue Dong He
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking erro…
stat.ME2019
An Approach to Efficient Fitting of Univariate and Multivariate Stochastic Volatility Models
Chen Gong, David S. Stoffer
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult…