40 citations · 40 across the 3 of their papers we have counts for
5 papers
Remarks on multi-period martingale optimal transport
Brendan Pass, Joshua Hiew
We study the structural properties of multi-period martingale optimal transport (MOT). We develop new tools to address these problems, and use them to prove several uniqueness and…
Data denoising with self consistency, variance maximization, and the Kantorovich dominance
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
We introduce a new framework for data denoising, partially inspired by martingale optimal transport. For a given noisy distribution (the data), our approach involves finding the cl…
An ordinary differential equation for entropic optimal transport and its linearly constrained variants
Joshua Zoen-Git Hiew, Luca Nenna, Brendan Pass
We characterize the solution to the entropically regularized optimal transport problem by a well-posed ordinary differential equation (ODE). Our approach works for discrete margina…
Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $…
BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
Joshua Zoen Git Hiew, Xin Huang, Hao Mou +3
Traditional sentiment construction in finance relies heavily on the dictionary-based approach, with a few exceptions using simple machine learning techniques such as Naive Bayes cl…