3 papers
cs.LG2026
Online Learning of Scale Parameters in Score-Driven Filters
Fabrizio Lillo, Giulia Livieri, Gianluca Palmari
Score-driven filters update a time-varying parameter by multiplying a scaled log-likelihood score by a scale parameter that controls the magnitude of the update. We name this scale…
math.ST2026
Proper-score observation-driven filters: local geometry, estimation, and continuous-time limits
Giulia Livieri, Gianluca Palmari
Observation-driven filters update a time-varying parameter with the likelihood score, linking the recursion to the logarithmic scoring rule. We replace this update with the negativ…
math.OC2026
Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
Gianluca Palmari, Fabrizio Lillo, Zoltan Eisler
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the tempor…