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Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew- copula approach

via Zoom

Speaker: Dr. Kakeru Ito, Senior Portfolio Manager (Multi-Asset / Quants), Mizuho Securities Co., Ltd. and Visiting Researcher, Graduate School of Management, Tokyo Metropolitan University Abstract: This study proposes AC dynamic skew-𝑡 copula with cDCC model to capture the dynamic asymmetric tail dependence structure among multi-asset classes (government bonds, corporate bonds, equities, and REITs). We provide […]

Corruption via Mean Field Games

via Zoom

Speaker: Dr. Kirill Golubnichiy, Department of Mathematics & Statistics, Texas Tech University Abstract: A new mathematical model describing the evolution of a corrupted hierarchy is derived. This model is based on mean field games theory. We consider a retrospective (inverse) problem for this model. From an applied standpoint, this problem amounts to reconstructing the past […]

ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book

via Zoom

Speaker: Dr. Jean-Loup Dupret, Department of Mathematics, ETH Zurich Abstract: We present ABIDES-MARL, a framework that combines a new multi-agent reinforcement learning (MARL) methodology with a new realistic limit-order-book (LOB) simulation system to study equilibrium behavior in complex financial market games. The system extends ABIDES-Gym by decoupling state collection from kernel interruption, enabling synchronized learning […]