Beatrice Guez

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 61

SSRN RANKINGS

Top 61

in Total Papers Downloads

180,690

SSRN CITATIONS
Rank 40,090

SSRN RANKINGS

Top 40,090

in Total Papers Citations

20

CROSSREF CITATIONS

4

Scholarly Papers (28)

1.

Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)

Number of pages: 17 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 32,376 (123)

Abstract:

Loading...

Volatility targeting, Supervised learning, Best ordering, Model-based and Portfolio allocation, Walk-forward and Features selection.

2.

Adaptive Supervised Learning for Volatility Targeting Models

Université Paris-Dauphine Research Paper No. 3924255
Number of pages: 12 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, École Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 31,065 (140)

Abstract:

Loading...

3.

Deep Decoding of Strategies

Université Paris-Dauphine Research Paper No. 4128693
Number of pages: 20 Posted: 16 Jun 2022 Last Revised: 05 May 2024
AI For Alpha, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 20,494 (289)

Abstract:

Loading...

Decoding, risk management

4.

Comparing Deep RL and Traditional Financial Portfolio Methods

Université Paris-Dauphine Research Paper No. 4557792
Number of pages: 22 Posted: 01 Sep 2023
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 12,582 (711)
Citation 1

Abstract:

Loading...

Deep Reinforcement Learning, Portfolio Allocation

5.

Planning in Financial Markets in Presence of Spikes: Using Machine Learning GBDT

Université Paris-Dauphine Research Paper No. 3862428
Number of pages: 9 Posted: 17 Jun 2021
Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and AI For Alpha
Downloads 11,102 (896)
Citation 2

Abstract:

Loading...

Machine Learning, GBDT

6.

Comparing Deep RL and Traditional Financial Portfolio Methods (ECML PKDD 2023 - MIDAS Slides)

Number of pages: 13 Posted: 21 Oct 2023
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 11,079 (899)

Abstract:

Loading...

deep reinforcement learning, portfolio allocation, risk-adjusted return, Sharpe ratio, financial markets

7.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Université Paris-Dauphine Research Paper No. 3862437
Number of pages: 9 Posted: 13 Jun 2021 Last Revised: 22 Feb 2022
Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and affiliation not provided to SSRN
Downloads 9,301 (1,206)
Citation 4

Abstract:

Loading...

regime changes, regime detection, machine learning

8.

Explainable AI Models of Stock Crashes: A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown

Université Paris-Dauphine Research Paper No. 3809308
Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 22 Feb 2022
AI For Alpha, affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 7,468 (1,754)
Citation 1

Abstract:

Loading...

market crash, GBDT, Shapley

9.

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach

Université Paris-Dauphine Research Paper No. 3813403
Number of pages: 25 Posted: 13 Apr 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 5,220 (3,242)
Citation 2

Abstract:

Loading...

10.

Computation of the marginal contribution of Sharpe ratio and other performance ratios

Université Paris-Dauphine Research Paper Forthcoming
Number of pages: 20 Posted: 14 Apr 2021
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 4,691 (3,898)

Abstract:

Loading...

Marginal contribution, Sharpe, Treynor, recovery and incremental Sharpe ratio, portfolio analysis

11.

Omega and Sharpe Ratio

Number of pages: 10 Posted: 30 Oct 2019
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 4,543 (4,130)

Abstract:

Loading...

Omega ratio, Sharpe ratio, normal distribution, elliptical distribution

12.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 4,499 (4,207)
Citation 1

Abstract:

Loading...

13.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 3,910 (5,282)
Citation 1

Abstract:

Loading...

CMA ES, Bayesian, conjugate prior, normal Wishart, normal inverse Wishart, mixture models

14.

Three Remarkable Properties of the Normal Distribution

Number of pages: 12 Posted: 27 Oct 2018
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 2,464 (11,087)
Citation 3

Abstract:

Loading...

Geary Theorem, Levy Cramer Theorem, Independence Between Sample Mean and Variance

15.

Sentiment Analysis of Bloomberg Markets Wrap Using ChatGPT: Application to the NASDAQ

Number of pages: 10 Posted: 15 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 2,205 (13,357)

Abstract:

Loading...

LLMs, NLP, Sentiment Analysis

16.

GRIP: Graphical Models Revealing Insights for Portfolio Replication - A Learning Approach

Number of pages: 8 Posted: 15 Apr 2024
Eric Benhamou, Jean-Jacques Ohana and Beatrice Guez
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 2,192 (13,501)

Abstract:

Loading...

Graphical Models, Portfolio allocation

17.

Stress Index Strategy Enhanced With Financial News Sentiment Analysis for the Equity Markets

Number of pages: 41 Posted: 15 Apr 2024
Independent, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and AI For Alpha
Downloads 2,156 (13,860)

Abstract:

Loading...

Large Language Models, GPT, sentiment

18.

Incremental Sharpe and Other Performance Ratios

Number of pages: 18 Posted: 26 Aug 2018 Last Revised: 24 Sep 2018
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 2,099 (14,366)

Abstract:

Loading...

C12, G11

19.

Deep Reinforcement Learning: Extending Traditional Financial Portfolio Methods

Number of pages: 8 Posted: 15 Apr 2024
Eric Benhamou, Beatrice Guez and Jean-Jacques Ohana
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 2,004 (15,491)

Abstract:

Loading...

20.

When Small Wins Big: Classification Tasks Where Compact Models Outperform Original GPT-4

Number of pages: 13 Posted: 15 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and CentraleSupélec
Downloads 1,992 (15,582)

Abstract:

Loading...

chatGPT, GPT, Sentiment, LLMs

21.

Can ChatGPT Compute Trustworthy Sentiment Scores from Bloomberg Market Wraps?

Université Paris-Dauphine Research Paper No. 4688451
Number of pages: 32 Posted: 01 Feb 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and CentraleSupélec
Downloads 1,946 (16,259)

Abstract:

Loading...

sentiment analysis, ChatGPT, stock exchange, financial news

22.

Mixing Financial Stress with GPT-4 News Sentiment Analysis for Optimal Risk-On/Risk-Off Decisions

Number of pages: 44 Posted: 15 Apr 2024 Last Revised: 27 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 1,851 (17,598)

Abstract:

Loading...

Market stress, Volatility, News sentiment, Investment strategy

23.

Using ChatGPT to Predict the Equity Markets - PSL Week Slides

Number of pages: 61 Posted: 01 Jan 2024
Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine and Independent
Downloads 1,847 (17,635)

Abstract:

Loading...

ChatGPT, Sentiment Indicator, GPT

24.

Uncertainty in Sentiment Analysis with LLMs using QCM (Quantiles of Correlation Matrices) - Distance

Number of pages: 11 Posted: 15 Apr 2024 Last Revised: 28 Apr 2024
University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine, AI For Alpha, AI For Alpha and Université Paris Dauphine
Downloads 1,377 (27,470)

Abstract:

Loading...

LLMs, Quantile distance

25.

FSDA: Tackling Tail-Event Analysis in Imbalanced Time Series Data with Feature Selection and Data Augmentation

Université Paris-Dauphine Research Paper No. 4557797
Number of pages: 14 Posted: 01 Sep 2023 Last Revised: 07 Dec 2023
Université Paris Saclay, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 103 (483,606)
Citation 1

Abstract:

Loading...

Imbalanced data

26.

FSDA: Tackling Tail-Event Analysis in Imbalanced Time Series Data (ECML PKDD 2023 - LIDTA Slides)

Number of pages: 11 Posted: 21 Oct 2023
Université Paris Saclay, Université Paris Dauphine, AI For Alpha, AI For Alpha, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 61 (656,398)

Abstract:

Loading...

Financial time series, Tail events, Imbalanced data, Feature selection, Data augmentation

27.

Crafting Portfolios Tailored to Investor Preferences with Generative AI

Number of pages: 16 Posted: 30 Apr 2024
AI For Alpha, Université Paris Dauphine, AI For Alpha, University of Paris-Saclay - CentraleSupélec, Université Paris Dauphine and AI For Alpha
Downloads 45 (752,440)

Abstract:

Loading...

Graphical Models, portfolio replication, investor preferences

28.

Generative AI: Crafting Portfolios Tailored to Investor Preferences

Number of pages: 9 Posted: 15 Apr 2024
Eric Benhamou, Jean-Jacques Ohana and Beatrice Guez
Université Paris Dauphine, AI For Alpha and AI For Alpha
Downloads 18 (983,563)

Abstract:

Loading...

Machine Learning

Other Papers (1)

Total Downloads: 2,282
1.

Explainable AI Models Applied to the Multi-Agent Environment of FInancial Markets (Slides EXTRAAMAS 2021 Seminar)

EXTRAAMAS 2021, 4 May 2021, online
Number of pages: 17 Posted: 06 May 2021 Last Revised: 15 Nov 2021
AI For Alpha, affiliation not provided to SSRN, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 2,282

Abstract:

Loading...