152 citations · 203 across the 2 of their papers we have counts for
3 papers
Deep Deterministic Portfolio Optimization
Ayman Chaouki, Stephen Hardiman, Christian Schmidt +2
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually…
Branching ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman, Jean-Philippe Bouchaud
We introduce a model-independent approximation for the branching ratio of Hawkes self-exciting point processes. Our estimator requires knowing only the mean and variance of the eve…
Critical reflexivity in financial markets: a Hawkes process analysis
Stephen J. Hardiman, Nicolas Bercot, Jean-Philippe Bouchaud
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is…