Igor Halperin

Fidelity Investments, Inc.

United States

  • Fidelity Investments, Inc.

SCHOLARLY PAPERS

12

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Top 4,459

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12,851

SSRN CITATIONS
Rank 25,666

SSRN RANKINGS

Top 25,666

in Total Papers Citations

17

CROSSREF CITATIONS

19

Scholarly Papers (12)

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1.

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 Fidelity Investments, Inc.
Downloads 3,331 (4,953)
Citation 4

Abstract:

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

2.

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

Number of pages: 30 Posted: 15 Dec 2017 Last Revised: 04 Sep 2019
Igor Halperin
Fidelity Investments, Inc.
Downloads 3,097 (5,612)
Citation 19

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Option Pricing, Reinforcement Learning, Black-Scholes Model

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
Fidelity Investments, Inc.
Downloads 1,330 (21,244)
Citation 5

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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
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,267 (22,871)
Citation 5

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

5.

Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry

Number of pages: 39 Posted: 14 Jan 2021 Last Revised: 27 Dec 2021
Igor Halperin
Fidelity Investments, Inc.
Downloads 841 (41,053)

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Non-Equilibrium Market Dynamics, Langevin Dynamics, Non-Perturbative Methods, Quantum Mechanics, Supersymmetry, the Black-Scholes Model

6.

'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
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 650 (57,688)
Citation 2

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

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 Fidelity Investments, Inc.
Downloads 495 (81,262)
Citation 1

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

8.

Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions

Downloads 437 ( 94,112)

Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions

Number of pages: 38 Posted: 06 Apr 2022
Igor Halperin
Fidelity Investments, Inc.
Downloads 425 (96,438)

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Non-equilibrium market dynamics, Langevin dynamics, mean field, statistical mechanics, McKean-Vlasov equation

Phases of Manes: Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions

Number of pages: 38 Posted: 18 Apr 2022
Igor Halperin
Fidelity Investments, Inc.
Downloads 12 (800,158)

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Non-equilibrium market dynamics, Langevin dynamics, mean field, Statistical Mechanics, McKean-Vlasov equation

9.

Combining Reinforcement Learning and Inverse Reinforcement Learning for Asset Allocation Recommendations

Number of pages: 9 Posted: 10 Jan 2022
Igor Halperin, Jiayu Liu, Xiao Zhang and Xiao Zhang
Fidelity Investments, Inc., Fidelity Investments, Inc., Fidelity Investments, Inc. and affiliation not provided to SSRN
Downloads 398 (104,865)

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Active portfolio management, asset allocation, reinforcement learning, inverse reinforcement learning

10.

The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective

Number of pages: 14 Posted: 23 Sep 2020
Igor Halperin
Fidelity Investments, Inc.
Downloads 364 (116,041)
Citation 1

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Geometric Brownian Motion, stochastic volatility, classical quantitative finance, physics, Langevin equations, negative mass oscillator, instantons

11.

Relative Option Pricing in the QLBS Model (Supplementary Note)

Number of pages: 2 Posted: 26 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 353 (120,073)
Citation 2

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12.

Inverse Reinforcement Learning for Marketing

Number of pages: 18 Posted: 15 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 288 (148,945)
Citation 3

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Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning