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Optimal Execution with Quadratic Variation Inventories
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders.
Learning a functional control for high-frequency finance
The issue of scarcity of financial data is solved by transfer learning: the neural network is first trained on trajectories generated thanks to a Monte-Carlo scheme, leading to a good initialization before training on historical trajectories.
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