Renyuan Xu

New York University

  • New York University

SCHOLARLY PAPERS

20

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Top 9,484

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10,200

TOTAL CITATIONS
Rank 29,586

SSRN RANKINGS

Top 29,586

in Total Papers Citations

55

Scholarly Papers (20)

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1.

Recent Advances in Reinforcement Learning in Finance

Number of pages: 65 Posted: 28 Nov 2021 Last Revised: 28 Feb 2023
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, New York University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 2,698 (10,724)
Citation 33

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Reinforcement Learning, Finance, Machine Learning, Quantitative Finance, Stochastic Control

2.

Tail-GAN: Learning to Simulate Tail Risk Scenarios

Number of pages: 40 Posted: 16 Mar 2022 Last Revised: 19 Apr 2024
Rama Cont, Mihai Cucuringu, Renyuan Xu and Chao Zhang
University of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics, New York University and Hong Kong University of Science and Technology (Guangzhou)
Downloads 1,612 (24,144)
Citation 4

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Scenario simulation, Generative models, Generative adversarial networks (GAN), Time series, Universal approximation, Expected shortfall, Value at risk, Risk measures, Elicitability.

3.

Model-free Analysis of Dynamic Trading Strategies

Number of pages: 23 Posted: 26 Jun 2023 Last Revised: 02 Jul 2023
Anna Ananova, Rama Cont and Renyuan Xu
University of Oxford, University of Oxford and New York University
Downloads 1,135 (40,548)

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excursion theory, mathematical finance, statistical arbitrage, model risk, pairs trading, mean-reversion strategy, drawdown risk.

4.

Excursion Risk

Number of pages: 36 Posted: 16 Nov 2020
Anna Ananova, Rama Cont and Renyuan Xu
University of Oxford, University of Oxford and New York University
Downloads 911 (55,228)

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excursion theory, mathematical finance, statistical arbitrage, model risk, Markov process, mean-reversion strategy, drawdown risk.

5.

Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies

Number of pages: 62 Posted: 02 Sep 2020
Rama Cont, Artur Kotlicki and Renyuan Xu
University of Oxford, University of Oxford - Mathematical Institute and New York University
Downloads 745 (72,467)
Citation 1

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epidemic modeling, COVID-19, coronavirus, compartmental models, SIR model, stochastic epidemic model

6.

Transaction Cost Analytics for Corporate Bonds

Number of pages: 39 Posted: 19 Apr 2019 Last Revised: 11 Feb 2021
Xin Guo, Charles‐Albert Lehalle and Renyuan Xu
University of California, Berkeley - Department of Industrial Engineering and Operations Research, Capital Fund Management and New York University
Downloads 465 (130,739)

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Bond liquidity, transaction costs analysis, riskless principal trades, price impact, Enhanced TRACE

7.

Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon

Number of pages: 49 Posted: 09 Jan 2021 Last Revised: 02 Aug 2021
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, New York University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 399 (156,318)
Citation 8

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Linear-quadratic regulator, reinforcement learning, policy gradient method, stochastic control, optimal execution, optimal liquidation

8.

Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing

Number of pages: 44 Posted: 09 Aug 2022 Last Revised: 25 Jan 2024
Jingwei Ji, Renyuan Xu and Ruihao Zhu
University of Southern California, New York University and Cornell University
Downloads 363 (173,661)

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online learning, bandit, regret analysis, machine learning theory, smart order routing, algorithmic trading, mean-variance, risk-aware decision-making

9.

Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach

Number of pages: 33 Posted: 09 Aug 2021 Last Revised: 31 Mar 2022
Haotian Gu, Xin Guo, Xiaoli Wei and Renyuan Xu
University of California, Berkeley, University of California, Berkeley - Department of Industrial Engineering and Operations Research, affiliation not provided to SSRN and New York University
Downloads 338 (187,755)
Citation 6

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Mean field game; Multi-agent Reinforcement learning;Graph network; Deep Learning

10.

Interbank lending with benchmark rates: Pareto Optima for a Class of Singular Control Games

Number of pages: 32 Posted: 29 Jan 2021 Last Revised: 02 Dec 2022
Rama Cont, Xin Guo and Renyuan Xu
University of Oxford, University of California, Berkeley - Department of Industrial Engineering and Operations Research and New York University
Downloads 278 (230,878)

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stochastic differential games, Pareto optimum, LIBOR, benchmark rates, interbank market

11.

Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games

Number of pages: 48 Posted: 02 Aug 2021 Last Revised: 21 Jul 2022
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, New York University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 226 (283,664)

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Multi-agent reinforcement learning, linear-quadratic games, policy gradient methods, general-sum games, N-player games

12.

Entropy Regularization for Mean Field Games with Learning

Number of pages: 26 Posted: 19 Nov 2020
Xin Guo, Renyuan Xu and Thaleia Zariphopoulou
University of California, Berkeley - Department of Industrial Engineering and Operations Research, New York University and University of Texas at Austin (Mathematics and IROM)
Downloads 213 (300,144)
Citation 1

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Mean field game; Multi-agent reinforcement learning; Entropy regularization; Linear-quadratic games

13.

Convergence and Implicit Regularization Properties of Gradient Descent for Deep Residual Networks

Number of pages: 32 Posted: 27 Apr 2022
Rama Cont, Alain Rossier and Renyuan Xu
University of Oxford, University of Oxford - Mathematical Institute and New York University
Downloads 167 (374,464)

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Neural Network, Residual Network, Deep Learning, Gradient Descent, Implicit Regularization

14.

Risk-sensitive Markov Decision Process and Learning under General Utility Functions

Number of pages: 41 Posted: 27 Nov 2023 Last Revised: 21 Dec 2024
Zhengqi Wu and Renyuan Xu
University of Southern California - Epstein Department of Industrial & Systems Engineering and New York University
Downloads 149 (412,434)
Citation 2

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Reinforcement Learning; utility theory; Markov decision process; risk-sensitive control

15.

Inference of Utilities and Time Preference in Sequential Decision-Making

Number of pages: 39 Posted: 29 May 2024
Haoyang Cao, Zhengqi Wu and Renyuan Xu
Johns Hopkins University - Department of Applied Mathematics and Statistics, University of Southern California - Epstein Department of Industrial & Systems Engineering and New York University
Downloads 114 (508,594)

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inference, utility, time preference, time inconsistency, sequential decision-making, identifiability

16.

Decision Making Under Costly Sequential Information Acquisition: The Paradigm of Reversible and Irreversible Decisions

Number of pages: 52 Posted: 24 Jan 2024
Renyuan Xu, Thaleia Zariphopoulou and Luhao Zhang
New York University, University of Texas at Austin (Mathematics and IROM) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 94 (582,423)

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17.

Multi-Task Dynamic Pricing in Credit Market with Contextual Information

Number of pages: 45 Posted: 12 Dec 2024
Adel Javanmard, Jingwei Ji and Renyuan Xu
University of Southern California, University of Southern California and New York University
Downloads 89 (602,315)

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dynamic pricing, multi-task learning, regret, credit market

18.

Fast Policy Learning for Linear Quadratic Control with Entropy Regularization

Number of pages: 33 Posted: 01 Dec 2023 Last Revised: 12 Dec 2023
Xin Guo, Xinyu Li and Renyuan Xu
University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of California, Berkeley - University of California, Berkeley, Department of Industrial Engineering and Operations Research, Students and New York University
Downloads 87 (610,825)

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Linear-quadratic control; policy gradient; reinforcement learning; transfer learning

19.

Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions

Number of pages: 34 Posted: 29 Jul 2023
Ben M. Hambly, Renyuan Xu and Huining Yang
University of Oxford - St. Ann's College, New York University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 60 (746,498)

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Linear-quadratic games; Asymmetric information; private belief process; Nash equilibrium

20.

Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players

Number of pages: 62 Posted: 18 Sep 2024
Yufan Chen, Lan Wu, Renyuan Xu and Ruixun Zhang
Peking University, Peking University, New York University and Peking University
Downloads 57 (765,374)

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Periodicity in financial market, Algorithmic trading, Optimal liquidation, Mean-field game