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q-fin.CP2022
Nowcasting Stock Implied Volatility with Twitter
Thomas Dierckx, Jesse Davis, Wim Schoutens
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources…
q-fin.TR2022
Market Making via Reinforcement Learning in China Commodity Market
Junshu Jiang, Thomas Dierckx, Duxiang Xiao +1
Market makers play an essential role in financial markets. A successful market maker should control inventory and adverse selection risks and provide liquidity to the market. As an…