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06/29/2022
Equilibria and Convergence in Fire Sale Games
The complex interactions between algorithmic trading agents can have a s...
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08/14/2020
Bayesian Quantile Matching Estimation
Due to increased awareness of data protection and corresponding laws man...
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08/05/2019
Strategic Payments in Financial Networks
In their seminal work on systemic risk in financial markets, Eisenberg a...
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05/12/2019
Rotation Invariant Householder Parameterization for Bayesian PCA
We consider probabilistic PCA and related factor models from a Bayesian ...
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06/08/2018
Estimation of Covariance Matrices for Portfolio Optimization using Gaussian Processes
Estimating covariances between financial assets plays an important role ...
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03/10/2018