Establishes a fundamental weak convergence theorem for nonsingular SVIEs and derives first-order weak rates for the stochastic theta method and Wong-Zakai approximation while relaxing boundedness assumptions on the diffusion coefficient.
Shihao Gu, Bryan Kelly, and Dacheng Xiu
9 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 9representative citing papers
Algometrics proves that deployment risk cannot be identified from passive historical data alone, that model rankings can invert under crowding, and that randomized actions can identify short-horizon linear feedback.
Reformulates risk-sensitive benchmarked asset allocation as an LQG stochastic differential game via free energy-entropy duality and develops a continuous-time q-learning actor-critic algorithm that learns optimal policies with high accuracy in a proof-of-concept.
For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
Introduces SOCK (SOft Competing Kernels), a differentiable random convolutional feature map, to train generative models of financial time series via feature matching and shows outperformance over signature and diffusion baselines on small-sample datasets.
SPO-based DFL for portfolios produces prediction inflation and excessive turnover because decisions act as ranking on adjusted marginal scores; clipping, rescaling, and partial adjustment improve stability.
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.
Develops an ageing-aware nonlinear economic MPC for multi-carrier residential energy systems using physics-based battery models, reporting 10% grid cost reduction and 20% less degradation with LFP vs NMC cells plus 10%/5% gains over state-of-the-art in summer conditions.
Empirical finance is limited to ex post causal inference because self-reference in markets makes unidirectional causation unstable or fallacious.
citing papers explorer
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Fundamental weak convergence theorem for stochastic Volterra integral equations and its applications
Establishes a fundamental weak convergence theorem for nonsingular SVIEs and derives first-order weak rates for the stochastic theta method and Wong-Zakai approximation while relaxing boundedness assumptions on the diffusion coefficient.
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Algometrics: Forecasting Under Algorithmic Feedback
Algometrics proves that deployment risk cannot be identified from passive historical data alone, that model rankings can invert under crowding, and that randomized actions can identify short-horizon linear feedback.
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Reinforcement Learning for Risk-Sensitive Investment Management: a Free Energy--Entropy Duality Approach
Reformulates risk-sensitive benchmarked asset allocation as an LQG stochastic differential game via free energy-entropy duality and develops a continuous-time q-learning actor-critic algorithm that learns optimal policies with high accuracy in a proof-of-concept.
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Boundary behaviour of the Volterra square-root process
For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
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Generating Financial Time Series by Matching Random Convolutional Features
Introduces SOCK (SOft Competing Kernels), a differentiable random convolutional feature map, to train generative models of financial time series via feature matching and shows outperformance over signature and diffusion baselines on small-sample datasets.
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Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization
SPO-based DFL for portfolios produces prediction inflation and excessive turnover because decisions act as ranking on adjusted marginal scores; clipping, rescaling, and partial adjustment improve stability.
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Extensions to the Wealth Tax Neutrality Framework
Wealth tax neutrality holds under stochastic volatility and Epstein-Zin utility but fails for HARA preferences, while real taxes introduce distortions through non-uniform assessment, price effects, progressive thresholds that boost risk-taking near boundaries, and labor supply responses.
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Ageing-aware Energy Management for Residential Multi-Carrier Energy Systems
Develops an ageing-aware nonlinear economic MPC for multi-carrier residential energy systems using physics-based battery models, reporting 10% grid cost reduction and 20% less degradation with LFP vs NMC cells plus 10%/5% gains over state-of-the-art in summer conditions.
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Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference
Empirical finance is limited to ex post causal inference because self-reference in markets makes unidirectional causation unstable or fallacious.