189 citations · 697 across the 47 of their papers we have counts for
62 papers
Equilibria and incentives for illiquid auction markets
Joffrey Derchu, Dimitrios Kavvathas, Thibaut Mastrolia +1
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal str…
Transfer Learning for Portfolio Optimization
Haoyang Cao, Haotian Gu, Xin Guo +1
In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "tra…
Understanding the worst-kept secret of high-frequency trading
Sergio Pulido, Mathieu Rosenbaum, Emmanouil Sfendourakis
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationsh…
Towards systematic intraday news screening: a liquidity-focused approach
Jianfei Zhang, Mathieu Rosenbaum
News can convey bearish or bullish views on financial assets. Institutional investors need to evaluate automatically the implied news sentiment based on textual data. Given the hug…
Feasibility and Transferability of Transfer Learning: A Mathematical Framework
Haoyang Cao, Haotian Gu, Xin Guo +1
Transfer learning is an emerging and popular paradigm for utilizing existing knowledge from previous learning tasks to improve the performance of new ones. Despite its numerous emp…
What should clubs monitor to predict future value of football players
Ali Baouan, Elsa Bismuth, Aurèle Bohbot +3
Huge amounts of money are invested every year by football clubs on transfers. For both growth and survival, it is crucial for recruiting departments to make smart choices when targ…