Financial Applications of Gaussian Processes and Bayesian Optimization
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References listed on IDEAS
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Cited by:
- Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
- Hainaut, Donatien & Vrins, Frédéric, 2024. "European option pricing with model constrained Gaussian process regressions," LIDAM Discussion Papers ISBA 2024021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Taco de Wolff & Alejandro Cuevas & Felipe Tobar, 2020. "Gaussian process imputation of multiple financial series," Papers 2002.05789, arXiv.org.
- Trent Spears & Stefan Zohren & Stephen Roberts, 2020. "Investment sizing with deep learning prediction uncertainties for high-frequency Eurodollar futures trading," Papers 2007.15982, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-03-18 (Big Data)
- NEP-CMP-2019-03-18 (Computational Economics)
- NEP-ECM-2019-03-18 (Econometrics)
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