Other papers

Interesting and/or articles by other researchers:

QuantMinds 2018

Probability

• Evaluating gambles using dynamics (Gell-Mann, Peters)

Volatility

• The Smile in Stochastic Volatility Models (Bergomi and Guyon)
• Exponentiation of Conditional Expectations Under Stochastic Volatility (Alos, Gatheral and Radoicic)
• Turbocharging Monte Carlo pricing for the rough Bergomi model (Pakkanen) with code: https://github.com/ryanmccrickerd/rough_bergomi

Market Microstructure

• Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning (Rama Cont)
• Dissecting cross-impact on stock markets: An empirical analysis and Unravelling the trading invariance hypothesis (Michael Benzaquen)
• Predicting Jump Arrivals in Stock Prices Using Neural Networks with Limit Order Book Data (Juho Kanniainen)

Machine Learning

• Machine Learning for Volatility Trading (Artur Sepp): Blog post, slides and video
• Predicting Rare Events with Long Short Term Machines (Matthew Dixon)
  • Background papers: Deep Learning for Spatio-Temporal Modeling: Dynamic Traffic Flows and High Frequency Trading and Sequence Classification of the Limit Order Book using Recurrent Neural Networks
  • Jupyter notebook: Using LSTMs to Predict Mid-Price Movement from the Limit Order Book
• Referenced by Richard Turner:
  • The price dynamics of common trading strategies (Farmer and Joshi)
  • QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds (Halperin)
  • Aurélien Gueron: GitHub and book (includes autoencoders)
• Marcos López de Prado: Research and video
• Learning Curve Dynamics with Artificial Neural Networks (Alexei Kondratyev)
• Deep Hedging (Lukas Gonon)