no code implementations • 20 Jan 2024 • Bryan Kelly, Boris Kuznetsov, Semyon Malamud, Teng Andrea Xu
We open up the black box behind Deep Learning for portfolio optimization and prove that a sufficiently wide and arbitrarily deep neural network (DNN) trained to maximize the Sharpe ratio of the Stochastic Discount Factor (SDF) is equivalent to a large factor model (LFM): A linear factor pricing model that uses many non-linear characteristics.
1 code implementation • 26 Jan 2023 • Teng Andrea Xu, Bryan Kelly, Semyon Malamud
The recent discovery of the equivalence between infinitely wide neural networks (NNs) in the lazy training regime and Neural Tangent Kernels (NTKs) (Jacot et al., 2018) has revived interest in kernel methods.
no code implementations • 30 Oct 2022 • Teng Andrea Xu, Jiahua Xu, Kristof Lommers
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance (DeFi) protocols.
1 code implementation • 2 Oct 2022 • Semyon Malamud, Teng Andrea Xu, Antoine Didisheim
Recent progress in Generative Artificial Intelligence (AI) relies on efficient data representations, often featuring encoder-decoder architectures.
1 code implementation • 15 Feb 2022 • Teng Andrea Xu, Jiahua Xu
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols.