5 citations · 7 across the 4 of their papers we have counts for
7 papers
Convergence of GANs Training: A Game and Stochastic Control Methodology
Othmane Mounjid, Xin Guo
Training generative adversarial networks (GANs) is known to be difficult, especially for financial time series. This paper first analyzes the well-posedness problem in GANs minimax…
Improving reinforcement learning algorithms: towards optimal learning rate policies
Othmane Mounjid, Charles-Albert Lehalle
This paper investigates to what extent one can improve reinforcement learning algorithms. Our study is split in three parts. First, our analysis shows that the classical asymptotic…
From asymptotic properties of general point processes to the ranking of financial agents
Othmane Mounjid, Mathieu Rosenbaum, Pamela Saliba
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild…
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…
Optimal inventory management and order book modeling
Nicolas Baradel, Bruno Bouchard, David Evangelista +1
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) fir…
Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency
Charles-Albert Lehalle, Othmane Mounjid
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbal…
Elasticae and inradius
Antoine Henrot, Othmane Mounjid
The elastic energy of a planar convex body is defined by $E(\Om)=\frac 12\,\int\_{\partial\Om} k^2(s)\,ds$where is the curvature of the boundary. In this paper we are intere…