financial modeling 1optimal control 1physics-informed neural networks 1portfolio optimization 1reinforcement learning 1transaction costs 1
From the 1 of 3 linked papers with an AI index.
3 papers
q-fin.PM2026
SciPhy Reinforcement Learning for Portfolio Optimization
Igor Halperin, Andrey Itkin
The paper proposes a physics‑informed reinforcement learning framework that learns optimal, cost‑aware portfolio allocation policies from historical data by solving a projected Ham…
q-fin.PR2025
Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
Igor Halperin, Andrey Itkin
The Marketron model, introduced by [Halperin, Itkin, 2025], describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multid…
q-fin.MF2025
Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
I. Halperin, A. Itkin
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market…