3 citations · 5 across the 15 of their papers we have counts for
15 papers
Are Three Matrices All You Need To Beat the Market? Observable Matrix Dynamics for Portfolio Optimization
Igor Halperin
We present a simple framework for dynamic portfolio management that uses nothing but daily prices, trading volumes, and market capitalizations. Its state is three fixed-size matric…
Observable Matrix Dynamics of Stocks
Igor Halperin
The Observable Matrix Dynamics (OMD) approach monitors the time development of complex non-linear systems through the trajectory of a fixed-size distance matrix and its spectrum. W…
SciPhy Reinforcement Learning for Portfolio Optimization
Igor Halperin, Andrey Itkin
This paper introduces a dynamic portfolio optimization framework for large institutional investors using Scientific Physics-Informed Reinforcement Learning (SciPhyRL). Formulated i…
Learning as Observable Matrix Dynamics: Diffusive Relaxations versus Phase Transitions
Igor Halperin
Observable Matrix Dynamics (OMD) is a diagnostic framework that probes the dynamics of high-dimensional internal representations of inputs by a neural network via a fixed-size $N \…
I-BBS: Coordinate-Free Inference of Latent Sub-Manifolds Using Random Distance Matrix Theory
Igor Halperin
Bogomolny, Bohigas and Schmit (BBS) found that the spectrum of the pairwise distance matrix on N points sampled from a smooth d-dimensional manifold encodes a signature of the unde…
Frustrated Dynamics of Distance Matrices
Igor Halperin
We introduce the Frustrated Distance Matrix (FDM) model, a dynamic extension of the static distance-matrix ensemble on S^2 analyzed by Bogomolny, Bohigas, and Schmit (BBS). Its ent…
Frustrated Fields: Statistical Field Theory for Frustrated Brownian Particles on 2D Manifolds
Igor Halperin
We develop a statistical field theory that describes the large-N limit of a system of Brownian particles with quenched random pairwise interactions on a compact two-dimensional Rie…
Order Out of Noise and Disorder: Fate of the Frustrated Manifold
Igor Halperin
We study Langevin dynamics of Brownian particles on two-dimensional Riemannian manifolds, interacting through pairwise potentials linear in geodesic distance with quenched rand…
Physicists Are Still Joking
Igor Halperin
This volume, \textbf{Physicists Are Still Joking}, serves as a definitive almanac of scientific humor spanning sixty years. It traces the evolution of professional folklore across…
Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers
Igor Halperin
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for th…
Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
Igor Halperin, Andrey Itkin
The Marketron model, introduced by [Halperin, Itkin, 2025], describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multid…
Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
I. Halperin, A. Itkin
We present a model of price formation in an inelastic market whose dynamics are partially driven by both money flows and their impact on asset prices. The money flow to the market…
SCOP: Schrodinger Control Optimal Planning for Goal-Based Wealth Management
Igor Halperin
We consider the problem of optimization of contributions of a financial planner such as a working individual towards a financial goal such as retirement. The objective of the plann…
Pricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging
I. Halperin, A. Itkin
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset using a set of proxies: a liquid asset , and liquid European option…
Inclusive B \to sg decay in QCD
I. Halperin, M. Lublinsky
The inclusive nonleptonic transition rate of B meson in gluonic penguin channel is calculated in QCD using the heavy quark mass expansion. We found the branching ratio to be approx…