451 citations · 1.7k across the 73 of their papers we have counts for
Showing 2012Show all
3 papers · 1 filter
q-fin.TR2012
Adaptive Execution: Exploration and Learning of Price Impact
Beomsoo Park, Benjamin Van Roy
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of obs…
cs.LG2012
A Hybrid Method for Distance Metric Learning
Yi-Hao Kao, Benjamin Van Roy, Daniel Rubin +3
We consider the problem of learning a measure of distance among vectors in a feature space and propose a hybrid method that simultaneously learns from similarity ratings assigned t…
cs.LG2012★ 1 cited
Directed Time Series Regression for Control
Yi-Hao Kao, Benjamin Van Roy
We propose directed time series regression, a new approach to estimating parameters of time-series models for use in certainty equivalent model predictive control. The approach com…