no code implementations • 16 Feb 2023 • Ali Fathi, Bernhard Hientzsch
We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance objective.
no code implementations • 22 Oct 2020 • Yaser Faghan, Nancirose Piazza, Vahid Behzadan, Ali Fathi
Deep Reinforcement Learning (DRL) has become an appealing solution to algorithmic trading such as high frequency trading of stocks and cyptocurrencies.
1 code implementation • 24 Aug 2020 • Masoud Hashemi, Ali Fathi
We propose a model criticism and explanation framework based on adversarially generated counterfactual examples for tabular data.
no code implementations • 5 Jun 2018 • Greg Kirczenow, Ali Fathi, Matt Davison
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields.