Carlos Higuera

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Research

Some interesting research papers I've come across:

• Reinforcement Learning for Optimized Trade Execution

  Research paper from 2006 showing that Reinforcement Learning can improve optimization.

• QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds

  2017. Presents discrete-time option pricing model rooted in Reinforcement Learning.

• Deep Learning Volatility: A deep neural network perspective on pricing and calibration in (rough) volatility models

  A neural networks approach to calibrataing rought stochastic volatility models. They authors also provide an Ipython notebook. Here is a good summary.

• Machine Learning Algorithms with Applications in Finance

  A phD thesis in mathematical finance

• Institutions as the Fundamental Cause of Long-Run Growth

  A (theoretical and empirical) case that differences in economic institutions are the fundamental cause of differences in economic development.

• Big Data: New Tricks for Econometrics

  An article by Hal Varian (Google) that serves as a good overview of how machine learning canbe applied to economics and finance

Got recommendations? Drop me a note!