2 citations · 4 across the 3 of their papers we have counts for
3 papers
stat.AP2020★ 2 cited
Multi-Output Gaussian Processes for Multi-Population Longevity Modeling
Nhan Huynh, Mike Ludkovski
We investigate joint modeling of longevity trends using the spatial statistical framework of Gaussian Process regression. Our analysis is motivated by the Human Mortality Database…
q-fin.TR2014★ 1 cited
Optimal Execution with Dynamic Order Flow Imbalance
Kyle Bechler, Mike Ludkovski
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is repres…
q-fin.PM2010★ 1 cited
Illiquidity Effects in Optimal Consumption-Investment Problems
Michael Ludkovski, Hyekyung Min
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geom…