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q-fin.TR2025
Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution
Tomas Espana, Yadh Hafsi, Fabrizio Lillo +1
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementat…
math.PR2025
Random Matrices and U-Statistics
Florent Benaych-Georges, Tomas Espana
We introduce a family of coefficients based on U-statistics that generalize the notion of correlation and explore their properties in the large dimensional multivariate case, showi…
math.PR2025
Another Marcenko-Pastur law for Kendall's tau
Pierre Bousseyroux, Tomas Espana, Matteo Smerlak
Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of i.i.d. random vectors in are asymptotically distributed like $1/3 + (2/3)Y_…