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cs.LG2022★ 7 cited
Modeling Temporal Data as Continuous Functions with Stochastic Process Diffusion
Marin Biloš, Kashif Rasul, Anderson Schneider +2
Temporal data such as time series can be viewed as discretized measurements of the underlying function. To build a generative model for such data we have to model the stochastic pr…
q-fin.TR2022
Do price trajectory data increase the efficiency of market impact estimation?
Fengpei Li, Vitalii Ihnatiuk, Ryan Kinnear +2
Market impact is an important problem faced by large institutional investor and active market participant. In this paper, we rigorously investigate whether price trajectory data fr…