103 citations · 623 across the 38 of their papers we have counts for
41 papers
Model-Free Market Risk Hedging Using Crowding Networks
Vadim Zlotnikov, Jiayu Liu, Igor Halperin +2
Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund hol…
Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions
Igor Halperin
This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset pric…
Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations
Igor Halperin, Jiayu Liu, Xiao Zhang
We suggest a simple practical method to combine the human and artificial intelligence to both learn best investment practices of fund managers, and provide recommendations to impro…
Distributional Offline Continuous-Time Reinforcement Learning with Neural Physics-Informed PDEs (SciPhy RL for DOCTR-L)
Igor Halperin
This paper addresses distributional offline continuous-time reinforcement learning (DOCTR-L) with stochastic policies for high-dimensional optimal control. A soft distributional ve…
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Igor Halperin
This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach. Due to non-linearity of an interaction potential, the model admits regimes…
The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective
Igor Halperin
Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a…