Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Sequentially-fit alternating least squares algorithms in nonnegative matrix factorization [PDF]
, 2010 Nonnegative matrix factorization (NMF) and nonnegative least squares regression (NNLS regression) are widely used in the physical sciences; this thesis explores the often-overlooked origins of NMF in the psychometrics literature.
Lorenz, Florian M.
core
Orthogonal Nonnegative Matrix Factorization by Sparsity and Nuclear Norm Optimization
, 2018 © 2018 Society for Industrial and Applied Mathematics. In this paper, we study orthogonal nonnegative matrix factorization. We demonstrate the coefficient matrix can be sparse and low-rank in the orthogonal nonnegative matrix factorization.
Junjun Pan +3 more
core +1 more source
Single Cell Self-Paced Clustering with Transcriptome Sequencing Data. [PDF]
Int J Mol Sci, 2022 Zhao P, Xu Z, Chen J, Ren Y, King I.
europepmc +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Mathematical analysis of the impact of the media coverage in mitigating the outbreak of COVID-19. [PDF]
Math Comput Simul, 2023 Koutou O, Diabaté AB, Sangaré B.
europepmc +1 more source
Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
Mandate Models and the Inelastic Market Hypothesis
Mathematical Finance, EarlyView.ABSTRACT The aggregate equity market displays only small price elasticity; in particular, macroeconomic allocations in and out of the equity market lead to surprisingly large impacts on stock valuations. Gabaix and Koijen study this phenomenon and provide a theoretical framework to explain the observed price inelasticity. They consider financial agents
Johannes Ruf, Yueying Sun
wiley +1 more source
Cuproptosis Combined with lncRNAs Predicts the Prognosis and Immune Microenvironment of Breast Cancer. [PDF]
Comput Math Methods Med, 2022 Zhang L +5 more
europepmc +1 more source