3 papers
q-fin.PM2026
Onflow: a model free, online portfolio allocation algorithm robust to transaction fees
Gabriel Turinici, Pierre Brugiere
We introduce Onflow, a reinforcement learning method for optimizing portfolio allocation via gradient flows. Our approach dynamically adjusts portfolio allocations to maximize expe…
q-fin.MF2025
Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
Pierre Brugière, Gabriel Turinici
Option pricing theory, such as the Black and Scholes (1973) model, provides an explicit solution to construct a strategy that perfectly hedges an option in a continuous-time settin…
cs.AI2024
Transformer for Times Series: an Application to the S&P500
Pierre Brugiere, Gabriel Turinici
The transformer models have been extensively used with good results in a wide area of machine learning applications including Large Language Models and image generation. Here, we i…