Igor Halperin

Fidelity Investments, Inc.

United States

  • Fidelity Investments, Inc.

SCHOLARLY PAPERS

10

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9,229

SSRN CITATIONS
Rank 26,601

SSRN RANKINGS

Top 26,601

in Total Papers Citations

17

CROSSREF CITATIONS

17

Scholarly Papers (10)

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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
Fidelity Investments, Inc.
Downloads 2,574 (6,123)
Citation 19

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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 Fidelity Investments, Inc.
Downloads 2,531 (6,306)
Citation 3

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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
Fidelity Investments, Inc.
Downloads 1,127 (22,624)
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 1,060 (24,737)
Citation 4

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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
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 576 (56,938)
Citation 2

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

6.

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 304 (120,515)
Citation 1

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

7.

Relative Option Pricing in the QLBS Model (Supplementary Note)

Number of pages: 2 Posted: 26 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 304 (120,515)
Citation 2

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8.

Inverse Reinforcement Learning for Marketing

Number of pages: 18 Posted: 15 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 257 (143,450)
Citation 3

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Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning

9.

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

Number of pages: 45 Posted: 14 Jan 2021
Igor Halperin
Fidelity Investments, Inc.
Downloads 249 (148,046)

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

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 247 (149,295)
Citation 1

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