6 citations · 12 across the 4 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
cs.LG2023
Deep Calibration of Market Simulations using Neural Density Estimators and Embedding Networks
Namid R. Stillman, Rory Baggott, Justin Lyon +4
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenari…
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…