7 citations · 19 across the 10 of their papers we have counts for
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cs.LG2020★ 1 cited
Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
Edmond Lezmi, Jules Roche, Thierry Roncalli +1
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose s…
q-fin.PM2020
A Note on Portfolio Optimization with Quadratic Transaction Costs
Pierre Chen, Edmond Lezmi, Thierry Roncalli +1
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more…