A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper models asset pricing in a partially observed market using mean field game theory and exponential quadratic Gaussian framework.
EnKBS smoothes complex systems with future observations for causal inference.
Proposes variational Gaussian approximations for solving the Kushner equation.
Bayesian investor learns unknown asset drift, trades mean-variance optimal portfolio, but policy is robust to observation model distortion.
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous rate of return. Applying the …
Study finds non-monotonic Value of Information in dynamic multi-market monopoly.
Modeling market dynamics with informed and uninformed traders and fads.
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem by the duality method, here we study a system consisting of three BSDEs derived b…
Online DEM improves tracking of latent states in dynamic systems.
Study on inventory management under uncertainty using smooth ambiguity preference.
Develops asset pricing models with mean field game theory for heterogeneous agents.