Eric Benhamou | DeepAI

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∙ 04/19/2021

Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting

Model-Free Reinforcement Learning has achieved meaningful results in sta...

0 Eric Benhamou, et al. ∙

∙ 09/30/2020

Bridging the gap between Markowitz planning and deep reinforcement learning

While researchers in the asset management industry have mostly focused o...

0 Eric Benhamou, et al. ∙

∙ 09/07/2020

Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning

Deep reinforcement learning (DRL) has reached super human levels in comp...

0 Eric Benhamou, et al. ∙

∙ 07/23/2019

Variance Reduction in Actor Critic Methods (ACM)

After presenting Actor Critic Methods (ACM), we show ACM are control var...

0 Eric Benhamou, et al. ∙

∙ 05/14/2019

NGO-GM: Natural Gradient Optimization for Graphical Models

This paper deals with estimating model parameters in graphical models. W...

0 Eric Benhamou, et al. ∙

∙ 04/12/2019

Similarities between policy gradient methods (PGM) in Reinforcement learning (RL) and supervised learning (SL)

Reinforcement learning (RL) is about sequential decision making and is t...

0 Eric Benhamou, et al. ∙

∙ 04/02/2019

BCMA-ES II: revisiting Bayesian CMA-ES

This paper revisits the Bayesian CMA-ES and provides updates for normal ...

0 Eric Benhamou, et al. ∙

∙ 04/02/2019

BCMA-ES: A Bayesian approach to CMA-ES

This paper introduces a novel theoretically sound approach for the celeb...

0 Eric Benhamou, et al. ∙

∙ 12/27/2018

A discrete version of CMA-ES

Modern machine learning uses more and more advanced optimization techniq...

0 Eric Benhamou, et al. ∙

∙ 12/09/2018

Trade Selection with Supervised Learning and OCA

In recent years, state-of-the-art methods for supervised learning have e...

0 David Saltiel, et al. ∙

∙ 11/29/2018

Feature selection with optimal coordinate ascent (OCA)

In machine learning, Feature Selection (FS) is a major part of efficient...

0 David Saltiel, et al. ∙

∙ 11/28/2018

Kalman filter demystified: from intuition to probabilistic graphical model to real case in financial markets

In this paper, we revisit the Kalman filter theory. After giving the int...

0 Eric Benhamou, et al. ∙

∙ 09/18/2018

Gram Charlier and Edgeworth expansion for sample variance

In this paper, we derive a valid Edgeworth expansions for the Bessel cor...

0 Eric Benhamou, et al. ∙

∙ 09/11/2018

T-statistic for Autoregressive process

In this paper, we discuss the distribution of the t-statistic under the ...

0 Eric Benhamou, et al. ∙

∙ 09/11/2018

A few properties of sample variance

A basic result is that the sample variance for i.i.d. observations is an...

0 Eric Benhamou, et al. ∙

∙ 08/28/2018

Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation

This paper revisits the Pearson Chi-squared independence test. After pre...

0 Eric Benhamou, et al. ∙

∙ 08/02/2018

Connecting Sharpe ratio and Student t-statistic, and beyond

Sharpe ratio is widely used in asset management to compare and benchmark...

0 Eric Benhamou, et al. ∙

∙ 07/13/2018

Incremental Sharpe and other performance ratios

We present a new methodology of computing incremental contribution for p...

0 Eric Benhamou, et al. ∙

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