Igor Halperin

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

6 MetroTech Center

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 8,240

SSRN RANKINGS

Top 8,240

in Total Papers Downloads

5,621

SSRN CITATIONS
Rank 29,004

SSRN RANKINGS

Top 29,004

in Total Papers Citations

8

CROSSREF CITATIONS

15

Scholarly Papers (7)

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 1,803 (8,885)
Citation 12

Abstract:

Loading...

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 1,428 (12,930)

Abstract:

Loading...

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 787 (31,226)
Citation 3

Abstract:

Loading...

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 779 (31,653)
Citation 3

Abstract:

Loading...

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 396 (75,458)
Citation 2

Abstract:

Loading...

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 228 (137,235)
Citation 2

Abstract:

Loading...

7.

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 200 (155,424)
Citation 2

Abstract:

Loading...

Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning