8 citations · 14 across the 10 of their papers we have counts for
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2 papers · 1 filter
q-fin.TR2023
Detecting Toxic Flow
Álvaro Cartea, Gerardo Duran-Martin, Leandro Sánchez-Betancourt
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online learning Bayesian method which we ca…
stat.ML2023★ 2 cited
Low-rank extended Kalman filtering for online learning of neural networks from streaming data
Peter G. Chang, Gerardo Durán-Martín, Alexander Y Shestopaloff +2
We propose an efficient online approximate Bayesian inference algorithm for estimating the parameters of a nonlinear function from a potentially non-stationary data stream. The met…