2 papers
q-fin.CP2024
A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model
Kei Nakagawa, Masanori Hirano, Kentaro Minami +1
The AI traders in financial markets have sparked significant interest in their effects on price formation mechanisms and market volatility, raising important questions for market s…
q-fin.CP2023
Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study
Rawin Assabumrungrat, Kentaro Minami, Masanori Hirano
Option pricing, a fundamental problem in finance, often requires solving non-linear partial differential equations (PDEs). When dealing with multi-asset options, such as rainbow op…