相关论文: Revisiting Boehmer et al. (2021): Recent Period, A…

This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results. It presented the findings of the…

In the previous paper (Inverse Problems, 32, 015010, 2016), a new heuristic mathematical model was proposed for accurate forecasting of prices of stock options for 1-2 trading days ahead of the present one. This new technique uses the…

We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…

Real-Time Bidding (RTB) is an important mechanism in modern online advertising systems. Advertisers employ bidding strategies in RTB to optimize their advertising effects subject to various financial requirements, especially the…

We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider this question both in the context of a simple binary…

With the fast development of quantitative portfolio optimization in financial engineering, lots of AI-based algorithmic trading strategies have demonstrated promising results, among which reinforcement learning begins to manifest…

Retail sales forecasting presents a significant challenge for large retailers such as Walmart and Amazon, due to the vast assortment of products, geographical location heterogeneity, seasonality, and external factors including weather,…

We investigate the mechanisms by which medium-frequency trading agents are adversely selected by opportunistic high-frequency traders. We use reinforcement learning (RL) within a Hawkes Limit Order Book (LOB) model in order to replicate the…

This paper presents a novel way to apply mathematical finance and machine learning (ML) to forecast stock options prices. Following results from the paper Quasi-Reversibility Method and Neural Network Machine Learning to Solution of…

Traditional reinforcement learning (RL) assumes the agents make decisions based on Markov decision processes (MDPs) with one-step transition models. In many real-world applications, such as energy management and stock investment, agents can…

This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive…

Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistence can be attributed to the division and gradual execution of…

Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…

Binary options trading is often marketed as a field where predictive models can generate consistent profits. However, the inherent randomness and stochastic nature of binary options make price movements highly unpredictable, posing…

Offline reinforcement learning (RL) has increasingly become the focus of the artificial intelligent research due to its wide real-world applications where the collection of data may be difficult, time-consuming, or costly. In this paper, we…

This article introduces an advanced analytical approach for predicting backorders in inventory management. Backorder refers to an order that cannot be immediately fulfilled due to stock depletion. Multiple classification techniques,…

Large language models (LLMs) are typically pretrained with next-word prediction (NWP), which yields strong surface fluency but places limited pressure on models to form explicit reasoning before emitting tokens. We study whether shifting…

This paper applies a recurrent neural network (RNN) method to forecast cotton and oil prices. We show how these new tools from machine learning, particularly Long-Short Term Memory (LSTM) models, complement traditional methods. Our results…

The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforcement learning frameworks, a novel Replication Learning of…

Offline reinforcement learning (RL) aims to learn decision policies from a fixed batch of logged transitions, without additional environment interaction. Despite remarkable empirical progress, offline RL remains fragile under distribution…