Related papers: Multivariate transient price impact and matrix-val…
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…
State-of-the-art neural networks are heavily over-parameterized, making the optimization algorithm a crucial ingredient for learning predictive models with good generalization properties. A recent line of work has shown that in a certain…
We propose new positive definite kernels for permutations. First we introduce a weighted version of the Kendall kernel, which allows to weight unequally the contributions of different item pairs in the permutations depending on their ranks.…
3D action recognition was shown to benefit from a covariance representation of the input data (joint 3D positions). A kernel machine feed with such feature is an effective paradigm for 3D action recognition, yielding state-of-the-art…
The kernel matrix used in kernel methods encodes all the information required for solving complex nonlinear problems defined on data representations in the input space using simple, but implicitly defined, solutions. Spectral analysis on…
Methodologies to infer financial networks from the price series of speculative assets vary, however, they generally involve bivariate or multivariate predictive modelling to reveal causal and correlational structures within the time series…
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framework allows one to compute the average price trajectory in the…
We study fixed-policy evaluation for finite Markov chains that may be reducible and periodic. Classical evaluation methods with gain and bias decomposition are not always diagnostic: the gain records only invariant Ces\`aro averages, while…
We study classes of reproducing kernels $K$ on general domains; these are kernels which arise commonly in machine learning models; models based on certain families of reproducing kernel Hilbert spaces. They are the positive definite kernels…
Motivated by practical applications, I present a novel and comprehensive framework for operator-valued positive definite kernels. This framework is applied to both operator theory and stochastic processes. The first application focuses on…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
Behavior of neural networks is irremediably determined by the specific loss and data used during training. However it is often desirable to tune the model at inference time based on external factors such as preferences of the user or…
We propose a variational framework in which the kernel function k : X x X -> R, interpreted as the foundational object encoding what distinctions an agent can represent, is treated as a dynamical variable subject to path entropy…
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state…
We study non-rectangular robust Markov decision processes under the average-reward criterion, where the ambiguity set couples transition probabilities across states and the adversary commits to a stationary kernel for the entire horizon. We…
The main purpose of this paper is providing a systematic study and classification of non-scalar kernels for Reproducing Kernel Hilbert Spaces (RKHS), to be used in the analysis of deformation in shape spaces endowed with metrics induced by…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single instruments. Our specification allows us to calibrate a…