74 citations · 120 across the 41 of their papers we have counts for
3 papers · 1 filter
Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement
Anastasis Kratsios, Xiaofei Shi, Qiang Sun +1
We present a general computational framework for solving continuous-time financial market equilibria under minimal modeling assumptions while incorporating realistic financial fric…
Non-Euclidean Conditional Expectation and Filtering
Anastasis Kratsios, Cody B. Hyndman
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The…
The Entropic Measure Transform
Renjie Wang, Cody Hyndman, Anastasis Kratsios
We introduce the entropic measure transform (EMT) problem for a general process and prove the existence of a unique optimal measure characterizing the solution. The density process…