no code implementations • 29 Apr 2021 • Rene Carmona, Laura Leal
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders.
no code implementations • 17 Jun 2020 • Laura Leal, Mathieu Laurière, Charles-Albert Lehalle
The issue of scarcity of financial data is solved by transfer learning: the neural network is first trained on trajectories generated thanks to a Monte-Carlo scheme, leading to a good initialization before training on historical trajectories.