3 citations · 8 across the 13 of their papers we have counts for
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q-fin.CP2023
Neural networks can detect model-free static arbitrage strategies
Ariel Neufeld, Julian Sester
In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Du…
q-fin.CP2022★ 1 cited
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
Ariel Neufeld, Julian Sester, Daiying Yin
We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies…
q-fin.CP2021
A deep learning approach to data-driven model-free pricing and to martingale optimal transport
Ariel Neufeld, Julian Sester
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially h…