Renyuan Xu

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

SCHOLARLY PAPERS

12

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Scholarly Papers (12)

1.

Recent Advances in Reinforcement Learning in Finance

Number of pages: 60 Posted: 28 Nov 2021 Last Revised: 21 Dec 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 University of Oxford - Mathematical Institute
Downloads 1,859 (12,721)

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

2.

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 655 (57,081)
Citation 1

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

3.

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 641 (58,685)

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

4.

Transaction Cost Analytics for Corporate Bonds

Number of pages: 39 Posted: 19 Apr 2019 Last Revised: 11 Feb 2021
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 306 (139,694)

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

5.

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 University of Oxford - Mathematical Institute
Downloads 299 (143,068)

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

6.

Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation

Number of pages: 45 Posted: 16 Mar 2022
University of Oxford, University of Oxford - Department of Statistics, University of Oxford - Department of Statistics and University of Southern California - Epstein Department of Industrial & Systems Engineering
Downloads 202 (209,620)

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Scenario Simulation, Generative Adversarial Network (GAN), Time Series, Expected Shortfall, Value at Risk, Dynamic Strategies.

7.

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 195 (216,428)

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

8.

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

Number of pages: 32 Posted: 29 Jan 2021 Last Revised: 24 May 2021
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 181 (230,927)

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

9.

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 University of Oxford - Mathematical Institute
Downloads 159 (257,705)

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

10.

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 124 (312,632)
Citation 1

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

11.

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 57 (494,943)

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

12.

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

Number of pages: 24 Posted: 09 Aug 2022
Jingwei Ji, Renyuan Xu and Ruihao Zhu
University of Southern California, University of Southern California - Epstein Department of Industrial & Systems Engineering and Massachusetts Institute of Technology (MIT) - School of Engineering
Downloads 14 (770,905)

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