31 citations · 152 across the 38 of their papers we have counts for
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cs.LG2022★ 3 cited
Reservoir kernels and Volterra series
Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega
A universal kernel is constructed whose sections approximate any causal and time-invariant filter in the fading memory category with inputs and outputs in a finite-dimensional Eucl…
math.PR2022★ 1 cited
Deep neural network expressivity for optimal stopping problems
Lukas Gonon
This article studies deep neural network expression rates for optimal stopping problems of discrete-time Markov processes on high-dimensional state spaces. A general framework is e…
q-fin.MF2022★ 2 cited
Detecting asset price bubbles using deep learning
Francesca Biagini, Lukas Gonon, Andrea Mazzon +1
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-indep…