Search Results for author:
Found 5 papers, 0 papers with code
Relative Arbitrage Opportunities in an Extended Mean Field System
We establish a conditional McKean-Vlasov system to study the market dynamics coupled with investors.
Directed Chain Generative Adversarial Networks
Real-world data can be multimodal distributed, e. g., data describing the opinion divergence in a community, the interspike interval distribution of neurons, and the oscillators natural frequencies.
Systemic Risk Models for Disjoint and Overlapping Groups with Equilibrium Strategies
We introduce the concept of Nash equilibrium for these new models, and analyze the optimal solution under Gaussian distribution of the risk factor.
Convolutional Signature for Sequential Data
Signature is an infinite graded sequence of statistics known to characterize geometric rough paths, which includes the paths with bounded variation.
Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes
The relative arbitrage portfolio, formulated in Stochastic Portfolio Theory (SPT), outperforms a benchmark portfolio over a given time-horizon with probability one.
