1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.CP2024★ 1 cited
Machine Learning Methods for Pricing Financial Derivatives
Lei Fan, Justin Sirignano
Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chose…
q-fin.ST2018
Universal features of price formation in financial markets: perspectives from Deep Learning
Justin Sirignano, Rama Cont
Using a large-scale Deep Learning approach applied to a high-frequency database containing billions of electronic market quotes and transactions for US equities, we uncover nonpara…