Igor Halperin

New York University (NYU) - NYU Tandon School of Engineering

6 MetroTech Center

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 6,659

SSRN RANKINGS

Top 6,659

in Total Papers Downloads

7,110

SSRN CITATIONS
Rank 30,674

SSRN RANKINGS

Top 30,674

in Total Papers Citations

7

CROSSREF CITATIONS

17

Scholarly Papers (8)

1.

QLBS: Q-Learner in the Black-Scholes (-Merton) Worlds

Number of pages: 30 Posted: 15 Dec 2017 Last Revised: 04 Sep 2019
Igor Halperin
New York University (NYU) - NYU Tandon School of Engineering
Downloads 2,158 (7,068)
Citation 14

Abstract:

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Option Pricing, Reinforcement Learning, Black-Scholes Model

2.

The Four Horsemen of Machine Learning in Finance

Number of pages: 24 Posted: 24 Sep 2019
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,872 (9,024)
Citation 1

Abstract:

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machine learning, asset management, optimal hedging, neural networks, price impact

3.

The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios

Number of pages: 18 Posted: 17 Jan 2018
Igor Halperin
New York University (NYU) - NYU Tandon School of Engineering
Downloads 949 (25,585)
Citation 3

Abstract:

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Option Pricing, Reinforcement Learning, Black-Scholes Model

4.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Igor Halperin and Ilya Feldshteyn
New York University (NYU) - NYU Tandon School of Engineering and New York University (NYU) - NYU Tandon School of Engineering
Downloads 897 (27,786)
Citation 4

Abstract:

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Optimal trading, Reinforcement Learning, Invisible Hand, Inverse Reinforcement Learning, self-organization, non-equilibrium dynamics, mean reversion

5.

'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Number of pages: 51 Posted: 15 Aug 2018 Last Revised: 29 May 2019
Igor Halperin and Matthew Francis Dixon
New York University (NYU) - NYU Tandon School of Engineering and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 525 (56,914)
Citation 2

Abstract:

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Geometric Brownian Motion, Financial Markets, Non-Equilibrium, Physics, Phase Transitions, Supersymmetry

6.

Relative Option Pricing in the QLBS Model (Supplementary Note)

Number of pages: 2 Posted: 26 Dec 2017
Igor Halperin
New York University (NYU) - NYU Tandon School of Engineering
Downloads 262 (126,576)
Citation 2

Abstract:

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7.

G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning

Number of pages: 20 Posted: 20 Mar 2020 Last Revised: 23 Mar 2020
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads 225 (147,256)

Abstract:

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G-learning, goal based wealth management, imitation learning, reinforcement learning

8.

Inverse Reinforcement Learning for Marketing

Number of pages: 18 Posted: 15 Dec 2017
Igor Halperin
New York University (NYU) - NYU Tandon School of Engineering
Downloads 222 (149,212)
Citation 2

Abstract:

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Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning