2 citations · 6 across the 20 of their papers we have counts for
3 papers · 1 filter
Detecting Toxic Flow
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online learning Bayesian method which we ca…
A Neural RDE approach for continuous-time non-Markovian stochastic control problems
Melker Hoglund, Emilio Ferrucci, Camilo Hernandez +4
We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morri…
Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement
Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a rational agent who at time enters into a financial contract for which the payout is determined by a quantum measurement at some time . The state of the quant…