2 papers
math.OC2024
Two Kinds of Learning Algorithms for Continuous-Time VWAP Targeting Execution
Xingyu Zhou, Wenbin Chen, Mingyu Xu
The optimal execution problem has always been a continuously focused research issue, and many reinforcement learning (RL) algorithms have been studied. In this article, we consider…
cs.LG2024
Large Scale Hierarchical Industrial Demand Time-Series Forecasting incorporating Sparsity
Harshavardhan Kamarthi, Aditya B. Sasanur, Xinjie Tong +4
Hierarchical time-series forecasting (HTSF) is an important problem for many real-world business applications where the goal is to simultaneously forecast multiple time-series that…