231 citations · 874 across the 46 of their papers we have counts for
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cs.IT2023★ 2 cited
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent
Yibo Yang, Stephan Eckstein, Marcel Nutz +1
In the theory of lossy compression, the rate-distortion (R-D) function describes how much a data source can be compressed (in bit-rate) at any given level of fidelity (disto…
q-fin.TR2023
Unwinding Stochastic Order Flow: When to Warehouse Trades
Marcel Nutz, Kevin Webster, Long Zhao
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that agg…
q-fin.PR2023
On the Guyon-Lekeufack Volatility Model
Marcel Nutz, Andrés Riveros Valdevenito
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent performance in fitting market data and capturing stylized facts. The instantane…