3 papers
q-fin.PR2026
Differential ML with a Difference
Paul Glasserman, Siddharth Hemant Karmarkar
Differential ML (Huge and Savine 2020) is a technique for training neural networks to provide fast approximations to complex simulation-based models for derivatives pricing and ris…
cs.AI2025
Do Large Language Models (LLMs) Understand Chronology?
Pattaraphon Kenny Wongchamcharoen, Paul Glasserman
Large language models (LLMs) are increasingly used in finance and economics, where prompt-based attempts against look-ahead bias implicitly assume that models understand chronology…
q-fin.TR2025
Does Overnight News Explain Overnight Returns?
Paul Glasserman, Kriste Krstovski, Paul Laliberte +1
Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large pa…