LEZMI Edmond
RC - 2022 - 09 - Working Paper - Slider
Working Paper 1.03.2023 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 and computer vision. We investigate the Transformer model to address an important sequence learning problem in finance: time series forecasting.

More > 10 minutes
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Working Paper 6.04.2022 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 the climate risk measures defined by Le Guenedal and Roncalli (2022).

More > 10 minutes
Working Paper 1.12.2021 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.

More > 10 minutes
Working Paper 7.07.2020 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 time series, whose statistical properties are the same as those observed in the financial markets.

More > 10 minutes
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Working Paper 19.12.2019 A Note on Portfolio Optimization with Quadratic Transaction Costs

In this short note, we consider mean-variance optimized portfolios with transaction costs.

More > 10 minutes
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Working Paper 30.09.2019 Forecasting Combination: An Application For Exchange Rates

This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.

More > 10 minutes
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Working Paper 24.06.2019 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.

More > 10 minutes
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Working Paper 11.03.2019 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 two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization.

More > 10 minutes
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Working Paper 27.09.2018 Robust Asset Allocation for Robo-Advisors

Robust Asset Allocation for Robo-Advisors

More > 10 minutes
  • 10

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