71 citations · 77 across the 2 of their papers we have counts for
2 papers
q-fin.TR2018★ 6 cited
Idiosyncrasies and challenges of data driven learning in electronic trading
Vangelis Bacoyannis, Vacslav Glukhov, Tom Jin +2
We outline the idiosyncrasies of neural information processing and machine learning in quantitative finance. We also present some of the approaches we take towards solving the fund…
stat.ML2017★ 71 cited
Auto-Encoding Sequential Monte Carlo
Tuan Anh Le, Maximilian Igl, Tom Rainforth +2
We build on auto-encoding sequential Monte Carlo (AESMC): a method for model and proposal learning based on maximizing the lower bound to the log marginal likelihood in a broad fam…