124 citations · 146 across the 6 of their papers we have counts for
6 papers
Robot See, Robot Do: Imitation Reward for Noisy Financial Environments
Sven Goluža, Tomislav Kovačević, Stjepan Begušić +1
The sequential nature of decision-making in financial asset trading aligns naturally with the reinforcement learning (RL) framework, making RL a common approach in this domain. How…
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
Lucija Žignić, Stjepan Begušić, Zvonko Kostanjčar
Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grow…
Statistical arbitrage portfolio construction based on preference relations
Fredi Šarić, Stjepan Begušić, Andro Merćep +1
Statistical arbitrage methods identify mispricings in securities with the goal of building portfolios which are weakly correlated with the market. In pairs trading, an arbitrage op…
Deep Reinforcement Learning for Robust Goal-Based Wealth Management
Tessa Bauman, Bruno Gašperov, Stjepan Begušić +1
Goal-based investing is an approach to wealth management that prioritizes achieving specific financial goals. It is naturally formulated as a sequential decision-making problem as…
Scaling properties of extreme price fluctuations in Bitcoin markets
Stjepan Begušić, Zvonko Kostanjčar, H. Eugene Stanley +1
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has alw…
Estimating Tipping Points in Feedback-Driven Financial Networks
Zvonko Kostanjcar, Stjepan Begusic, H. E. Stanley +1
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping point…