1/03/2023 Machine Learning & Artificial Intelligence Time Series Forecasting with Transformer Models and application for Asset Management Since its introduction in 2017 (Vaswani et al., 2017), the Transformer model has excelled in a wide range of tasks involving natural language processing...
6/04/2022 Portfolio Allocation Multi-Period Portfolio Optimization and Application to Portfolio Decarbonization This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of...
1/12/2021 Asset Pricing & Behavioural Finance Graph Neural Networks for Asset Management In this research article, Amundi Quantitative Research explores the use of graph theory and neural networks in asset management.
7/07/2020 Machine Learning & Artificial Intelligence Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial...
19/12/2019 Portfolio Allocation A Note on Portfolio Optimization with Quadratic Transaction Costs In this short note, we consider mean-variance optimized portfolios with transaction costs.
24/06/2019 Portfolio Allocation Factor Investing in Currency Markets: Does it Make Sense? The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.
11/03/2019 Machine Learning & Artificial Intelligence Financial Applications of Gaussian Processes and Bayesian Optimization In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore...