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06/22/2023
Fitted Value Iteration Methods for Bicausal Optimal Transport
We develop a fitted value iteration (FVI) method to compute bicausal opt...
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11/01/2022
Can maker-taker fees prevent algorithmic cooperation in market making?
In a semi-realistic market simulator, independent reinforcement learning...
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03/20/2022
Distributionally robust risk evaluation with causality constraint and structural information
This work studies distributionally robust evaluation of expected functio...
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02/18/2021