67 citations · 77 across the 7 of their papers we have counts for
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math.OC2023
Lipschitz Interpolation: Non-parametric Convergence under Bounded Stochastic Noise
Julien Walden Huang, Stephen Roberts, Jan-Peter Calliess
This paper examines the asymptotic convergence properties of Lipschitz interpolation methods within the context of bounded stochastic noise. In the first part of the paper, we esta…
q-fin.TR2023★ 10 cited
Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
Peer Nagy, Jan-Peter Calliess, Stefan Zohren
We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.…