4 citations · 8 across the 9 of their papers we have counts for
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cs.LG2021★ 4 cited
Non-Asymptotic Analysis of Stochastic Approximation Algorithms for Streaming Data
Antoine Godichon-Baggioni, Nicklas Werge, Olivier Wintenberger
We introduce a streaming framework for analyzing stochastic approximation/optimization problems. This streaming framework is analogous to solving optimization problems using time-v…
q-fin.CP2021
Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model
Nicklas Werge
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asse…