Computational Finance

Authors and titles for recent submissions

[ total of 9 entries: 1-8 | 9 ]
[ showing 8 entries per page: fewer | more | all ]

[1] arXiv:2406.03652 (cross-list from q-fin.PM) [pdf, other]: Title: Ensembling Portfolio Strategies for Long-Term Investments: A Distribution-Free Preference Framework for Decision-Making and Algorithms

Authors: Duy Khanh Lam

Comments: 25 pages, 12 figures, 3 tables, working paper

Subjects: Portfolio Management (q-fin.PM); Information Theory (cs.IT); Machine Learning (cs.LG); Computational Finance (q-fin.CP)

[2] arXiv:2406.02969 (cross-list from cs.LG) [pdf, other]: Title: Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models

Authors: Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz

Comments: 29 pages, 5 Appendix sections

Subjects: Machine Learning (cs.LG); Artificial Intelligence (cs.AI); Computation and Language (cs.CL); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)
[3] arXiv:2406.02604 (cross-list from cs.LG) [pdf, ps, other]: Title: Gated recurrent neural network with TPE Bayesian optimization for enhancing stock index prediction accuracy

Authors: Bivas Dinda

Comments: 23 pages, 9 figures, 12 tables

Subjects: Machine Learning (cs.LG); Artificial Intelligence (cs.AI); Neural and Evolutionary Computing (cs.NE); Computational Finance (q-fin.CP)

[4] arXiv:2406.02319 [pdf, other]: Title: Pricing and calibration in the 4-factor path-dependent volatility model

Authors: Guido Gazzani, Julien Guyon

Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

[5] arXiv:2406.00459 [pdf, other]: Title: Machine Learning Methods for Pricing Financial Derivatives

Authors: Lei Fan, Justin Sirignano

Comments: 27 pages, 16 figures

Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Statistical Finance (q-fin.ST)

[6] arXiv:2405.16333 [pdf, other]: Title: Gaussian Recombining Split Tree

Authors: Yury Lebedev, Arunava Banerjee

Subjects: Computational Finance (q-fin.CP)
[7] arXiv:2405.16688 (cross-list from q-fin.GN) [pdf, ps, other]: Title: DeTEcT: Dynamic and Probabilistic Parameters Extension

Authors: Rem Sadykhov, Geoffrey Goodell, Philip Treleaven

Comments: 23 pages, 3 tables

Subjects: General Finance (q-fin.GN); Computational Engineering, Finance, and Science (cs.CE); Computational Finance (q-fin.CP)
[8] arXiv:2405.15975 (cross-list from math.OC) [pdf, other]: Title: Inference of Utilities and Time Preference in Sequential Decision-Making

Authors: Haoyang Cao, Zhengqi Wu, Renyuan Xu

Subjects: Optimization and Control (math.OC); Machine Learning (cs.LG); Computational Finance (q-fin.CP)

[ total of 9 entries: 1-8 | 9 ]
[ showing 8 entries per page: fewer | more | all ]