David Saltiel

A.I. Square Connect

35 Boulevard d'Inkermann

Neuilly sur Seine, 92200

France

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

SCHOLARLY PAPERS

13

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7,667

SSRN CITATIONS
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SSRN RANKINGS

Top 40,312

in Total Papers Citations

7

CROSSREF CITATIONS

11

Ideas:
“  I'm currently working on Deep Reinforcement Learning methods applied to finance  ”

Scholarly Papers (13)

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1.

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

Number of pages: 18 Posted: 22 Mar 2021 Last Revised: 29 Mar 2021
Jean-Jacques Ohana, Steve Ohana, Eric Benhamou, David Saltiel and Beatrice Guez
affiliation not provided to SSRN, ESCP Europe, LAMSADE- Paris Dauphine University, A.I. Square Connect and A.I. Square Connect
Downloads 796 (37,588)
Citation 1

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market crash, GBDT, Shapley

2.

Detecting and Adapting to Crisis Pattern with Context Based Deep Reinforcement Learning

Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 11 Sep 2020
Eric Benhamou, David Saltiel, Jean-Jacques Ohana and Jamal Atif
LAMSADE- Paris Dauphine University, A.I. Square Connect, affiliation not provided to SSRN and Université Paris Dauphine
Downloads 685 (46,118)
Citation 3

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Deep Reinforcement Learning, Portfolio selection

3.

Feature Selection With Optimal Coordinate Ascent (OCA)

Number of pages: 14 Posted: 20 Dec 2018
David Saltiel and Eric Benhamou
A.I. Square Connect and LAMSADE- Paris Dauphine University
Downloads 626 (52,086)
Citation 2

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feature selection, coordinate ascent, gradient boosting method

4.

NGO-GM: Natural Gradient Optimization for Graphical Models

Université Paris-Dauphine Research Paper No. 3387874
Number of pages: 18 Posted: 03 Jun 2019
Eric Benhamou, Jamal Atif, Rida Laraki and David Saltiel
LAMSADE- Paris Dauphine University, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 616 (53,236)
Citation 1

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Graphical Model, Natural Gradient, Overfitting

5.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Eric Benhamou, David Saltiel, Beatrice Guez and Nicolas Paris
LAMSADE- Paris Dauphine University, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 613 (53,451)
Citation 1

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

6.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Eric Benhamou, David Saltiel, Sebastien Verel and Fabien Teytaud
LAMSADE- Paris Dauphine University, A.I. Square Connect, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 605 (54,457)
Citation 4

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CMA-ES, Bayesian, Conjugate Prior, Normal-Inverse-Wishart

7.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 10 Posted: 28 Jan 2021 Last Revised: 06 May 2021
Eric Benhamou, David Saltiel, Sandrine Ungari and Abhishek Mukhopadhyay
LAMSADE- Paris Dauphine University, A.I. Square Connect, Societe Generale and SGCIB
Downloads 573 (58,162)
Citation 2

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Deep Reinforcement Learning, Portfolio selection

8.

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

Number of pages: 25 Posted: 13 Apr 2021
Eric Benhamou, David Saltiel, Beatrice Guez, Jamal Atif and Rida Laraki
LAMSADE- Paris Dauphine University, A.I. Square Connect, A.I. Square Connect, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 552 (60,946)

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9.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Number of pages: 9 Posted: 28 Jan 2021
Eric Benhamou, David Saltiel, Sandrine Ungari and Abhishek Mukhopadhyay
LAMSADE- Paris Dauphine University, A.I. Square Connect, Societe Generale and SGCIB
Downloads 529 (64,337)
Citation 2

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Deep Reinforcement Learning, Portfolio selection

10.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Number of pages: 15 Posted: 28 Jan 2021
Eric Benhamou, David Saltiel, Sandrine Ungari, Jamal Atif and Abhishek Mukhopadhyay
LAMSADE- Paris Dauphine University, A.I. Square Connect, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 527 (64,644)
Citation 1

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Deep Reinforcement Learning, Portfolio selection

11.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
Eric Benhamou, David Saltiel, Beatrice Guez and Nicolas Paris
LAMSADE- Paris Dauphine University, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 521 (65,413)
Citation 1

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12.

Trade Selection with Supervised Learning and OCA

Number of pages: 7 Posted: 27 Dec 2018
David Saltiel and Eric Benhamou
A.I. Square Connect and LAMSADE- Paris Dauphine University
Downloads 520 (65,753)

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Trade Selection, OCA, Supervised Learning, Features Selection

13.

Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free Rl for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021
Eric Benhamou, David Saltiel, Serge Tabachnik, Sui Kai Wong and François Chareyron
LAMSADE- Paris Dauphine University, A.I. Square Connect, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 504 (68,410)
Citation 1

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deep reinforcement learning, volatility targetting, model based RL, model free RL

Other Papers (1)

Total Downloads: 47
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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
Jean-Jacques Ohana, Steve Ohana, Eric Benhamou, David Saltiel and Beatrice Guez
affiliation not provided to SSRN, ESCP Europe, LAMSADE- Paris Dauphine University, A.I. Square Connect and A.I. Square Connect
Downloads 47

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