6 citations · 12 across the 4 of their papers we have counts for
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q-fin.CP2023★ 6 cited
Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
Kang Gao, Stephen Weston, Perukrishnen Vytelingum +3
We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders…
q-fin.CP2022
Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model
Kang Gao, Perukrishnen Vytelingum, Stephen Weston +2
This article presents XGB-Chiarella, a powerful new approach for deploying agent-based models to generate realistic intra-day artificial financial price data. This approach is base…