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Charles-Albert Lehalle

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115
Date
2022/08/23
Image Link
https://media-exp1.licdn.com/dms/image/sync/C4D27AQFZ1WRYOcGm5w/articleshare-shrink_800/0/1661273678421?e=1661893200&v=beta&t=NQJGcI4Gu_5exOeE95NH0qZ2BcqV1ak2MFUNMGmbA9Q
ML Score
4
Job
Abu Dhabi Investment Authority (ADIA) | Quantitative R&D Lead
Content
very happy that "Learning a functional control for high-frequency finance", a paper I co-authored with Laura Simonsen Leal and @Mathieu Laurière, is now published in Quantitative Finance.In this paper we minimize directly an intertemporal cost function via Stochastic Gradient Descent, and we add to the inputs of our Neural Net some parameters of the cost function. The learned NNet hence emulates all possible controls (it is a "meta-controller"). If you set these parameters you obtain a specific NNet emulating the proper control (it maps a new NNet to any values of the parameters of the cost function).Moreover you can learn a control that is more "model free" since you can mix learning on model simulations (Monte Carlo) and real data.
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6967888650411888641
Comments
2
Type
Post
Profile
https://www.linkedin.com/in/lehalle/
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