Machine learning

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Working Paper 7.06.2021 Robo-Advising for Small Investors: Evidence from Employee Savings Plan...

We study the introduction of robo-advising on a large representative sample of Employees Saving Plans. The robo-advisor proposes a portfolio allocation and aler...

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Working Paper 26.04.2021 Robo-Advising: Less AI and More XAI?
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We start by considering some of the key reasons behind the academic and industry interest in robo-advisors. We discuss how robo-advice could potentially address...

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Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzman...
60

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial ti...

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  • 60
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Working Paper 2.10.2019 Machine Learning Optimization Algorithms & Portfolio Allocation
30

Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient from a...

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  • 30
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Working Paper 11.03.2019 Financial Applications of Gaussian Processes and Bayesian Optimization
25

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 method...

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