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.
Matched filters reveal optimal normalization methods for different market participants.
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can only be estimated and…
For deep learning applications, the massive data development (e.g., collecting, labeling), which is an essential process in building practical applications, still incurs seriously high costs. In this work, we propose an effective data augmentation method based on generative adversarial networks (GANs), called Domain Fu…