2 papers
math.OC2023
An Offline Learning Approach to Propagator Models
Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asse…
q-fin.TR2023
Statistical Learning with Sublinear Regret of Propagator Models
Eyal Neuman, Yufei Zhang
We consider a class of learning problems in which an agent liquidates a risky asset while creating both transient price impact driven by an unknown convolution propagator and linea…