Speaker: Prof. Igor Cialenco, Dept. of Applied Mathematics, Illinois Institute of Technology Abstract: We develop a statistical framework for risk estimation, inspired by the axiomatic theory of risk measures. Coherent risk estimators—functionals of P&L samples inheriting the economic properties of risk measures—are defined and characterized through robust representations linked to L-estimators. The framework provides a […]

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 […]