Renyuan Xu

University of Southern California - Epstein Department of Industrial & Systems Engineering

United States

http://renyuanxu.github.io

  • University of Southern California - Epstein Department of Industrial & Systems Engineering

SCHOLARLY PAPERS

16

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12

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Scholarly Papers (16)

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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, University of Southern California - Epstein Department of Industrial & Systems Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 2,481 (9,946)
Citation 11

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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: 38 Posted: 16 Mar 2022 Last Revised: 28 Mar 2023
Rama Cont, Mihai Cucuringu, Renyuan Xu and Chao Zhang
University of Oxford, University of Oxford - Department of Statistics, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 857 (49,157)
Citation 2

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Scenario simulation, 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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 833 (51,116)

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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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 820 (52,176)
Citation 1

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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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 698 (64,636)
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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 410 (124,013)

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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, University of Southern California - Epstein Department of Industrial & Systems Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 379 (135,601)
Citation 5

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

8.

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
affiliation not provided to SSRN, University of California, Berkeley - Department of Industrial Engineering and Operations Research, affiliation not provided to SSRN and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 292 (179,311)
Citation 3

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

9.

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

Number of pages: 32 Posted: 09 Aug 2022 Last Revised: 23 Feb 2023
Jingwei Ji, Renyuan Xu and Ruihao Zhu
University of Southern California, University of Southern California - Epstein Department of Industrial & Systems Engineering and Cornell University
Downloads 265 (197,921)

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

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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 245 (213,866)

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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, University of Southern California - Epstein Department of Industrial & Systems Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 209 (248,779)

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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, University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 178 (287,070)
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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 127 (377,827)

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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: 36 Posted: 27 Nov 2023
Zhengqi Wu and Renyuan Xu
University of Southern California - Epstein Department of Industrial & Systems Engineering and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 46 (685,904)

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

15.

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, University of Southern California - Epstein Department of Industrial & Systems Engineering and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 27 (816,494)

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

16.

Fast Policy Learning for Linear Quadratic Regulator with Entropy Regularization

Number of pages: 33
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 University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 1

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