2 papers
q-fin.CP2023
Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning
Anastasis Kratsios, Cody Hyndman
We consider the problem of simultaneously approximating the conditional distribution of market prices and their log returns with a single machine learning model. We show that an in…
q-fin.TR2016
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…