Igor Halperin

Fidelity Investments, Inc.

United States

  • Fidelity Investments, Inc.

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 4,019

SSRN RANKINGS

Top 4,019

in Total Papers Downloads

16,207

SSRN CITATIONS
Rank 21,721

SSRN RANKINGS

Top 21,721

in Total Papers Citations

33

CROSSREF CITATIONS

19

Scholarly Papers (14)

Actions:
Email selected abstracts
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 4,159 (4,169)
Citation 6

Abstract:

Loading...

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 3,489 (5,615)
Citation 19

Abstract:

Loading...

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 1,482 (21,643)
Citation 5

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
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,382 (24,032)
Citation 5

Abstract:

Loading...

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 1,133 (32,185)
Citation 2

Abstract:

Loading...

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

6.

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 895 (44,812)
Citation 2

Abstract:

Loading...

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

7.

'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 716 (60,530)
Citation 2

Abstract:

Loading...

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

8.

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 574 (80,172)
Citation 5

Abstract:

Loading...

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

9.

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

Downloads 531 (88,337)

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 492 (96,013)

Abstract:

Loading...

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 39 (720,940)

Abstract:

Loading...

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

10.

Model-Free Market Risk Hedging Using Crowding Networks

Number of pages: 8 Posted: 19 Jun 2023
Vadim Zlotnikov, Jiayu Liu, Igor Halperin, Fei He and Lisa Huang
Fidelity Investments, Inc., Fidelity Investments, Inc., Fidelity Investments, Inc., Fidelity Investments, Inc. and Fidelity Investments, Inc.
Downloads 419 (117,300)

Abstract:

Loading...

Crowding, portfolio hedging, portfolio construction, graph analysis

11.

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 398 (124,457)
Citation 1

Abstract:

Loading...

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

12.

Relative Option Pricing in the QLBS Model (Supplementary Note)

Number of pages: 2 Posted: 26 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 394 (125,906)
Citation 2

Abstract:

Loading...

13.

Inverse Reinforcement Learning for Marketing

Number of pages: 18 Posted: 15 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 326 (155,030)
Citation 3

Abstract:

Loading...

Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning

14.

SCOP: Schrodinger Control Optimal Planning for Goal-Based Wealth Management

Number of pages: 34 Posted: 09 Sep 2023
Igor Halperin
Fidelity Investments, Inc.
Downloads 309 (169,250)

Abstract:

Loading...

Wealth management, retirement planning, optimal control, Kolmogorov equation, Schrodinger equation