2 papers
q-fin.TR2025
Solving Optimal Execution Problems via In-Context Operator Networks
Tingwei Meng, Moritz Voß, Nils Detering +3
We propose a novel transformer-based neural network architecture (ICON-OCnet) for solving optimal order execution problems in the presence of unknown price impact. Our architecture…
q-fin.MF2023
Aggregation of financial markets
Georg Menz, Moritz Voß
We present a formal framework for the aggregation of financial markets mediated by arbitrage. Our main tool is to characterize markets via utility functions and to employ a one-to-…