3 citations · 4 across the 2 of their papers we have counts for
3 papers
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…
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…
Financial Applications of Gaussian Processes and Bayesian Optimization
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli +1
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergon…