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06/19/2023
Neural networks can detect model-free static arbitrage strategies
In this paper we demonstrate both theoretically as well as numerically t...
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09/30/2022
Robust Q-learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty
We present a novel Q-learning algorithm to solve distributionally robust...
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06/13/2022
Markov Decision Processes under Model Uncertainty
We introduce a general framework for Markov decision problems under mode...
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03/07/2022
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
We present an approach, based on deep neural networks, that allows ident...
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03/21/2021