Her research interests are centered in high-frequency finance, using machine learning, deep neural networks, optimization, statistical and econometric methods to study high-frequency trading data. Speaker Bio: Laura Leal is a final-year PhD student in the Operations Research and Financial Engineering department at Princeton University. This opens the door to the acceptance of ML-generated controls by financial regulators. For more realistic loss functions that have no closed-form solution, we show that the average distance between the generated controls and their explainable version remains small. Moreover, to answer to genuine requests of financial regulators on the explainability of machine learning generated controls, we project the obtained “blackbox controls” on the space usually spanned by the closed-form solution of the stylized optimal trading problem, leading to a transparent structure. or residence, if other than the United States, may have laws, rules, and regulations that govern or affect your application for and use of our accounts, products and. and its affiliates in the United States and its territories. Scenario2 - The preferred credit limit is less than the current outstanding amount. Scenario1 - The preferred credit limit is more than the current outstanding amount. The issue of scarcity of financial data is solved by transfer learning: the neural network is first trained on trajectories generated thanks to a Monte-Carlo scheme, leading to a good initialization before training on historical trajectories. provides information about and access to accounts and financial services provided by Citibank, N.A. Customers can decrease the credit limit for the selected card by specifying their preferred credit limit. You will then be brought back to the Zoom app. An important challenge in learning this mapping is that, in intra-day trading, trader's actions influence price dynamics in closed loop via the market impact. If you encounter issues with logging in, clear your browsers cookies and cache completely (all time or all history), restart the browser, then try again. risk aversion parameters, and the optimal controls. For the first time, a neural network learns the mapping between the preferences of the trader, i.e. #Citi zoom us registration#You will receive the webinar link and dial-in info upon registration (the confirmation email will come from We use a deep neural network to generate controllers for optimal trading on high frequency data. Registration is required (please RSVP here). #Citi zoom us free#This webinar is free and open to all guests. Her topic is called "Learning a Functional Control for High-Frequency Finance," and she will present her work on Tuesday, Nov. Laura Leal (Princeton University) will be our last speaker for the fall seminar series.
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