David Saltiel

Université Paris Dauphine

Place du Maréchal de Tassigny

Paris, Cedex 16 75775

France

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

23

DOWNLOADS
Rank 35

SSRN RANKINGS

Top 35

in Total Papers Downloads

196,437

SSRN CITATIONS
Rank 27,325

SSRN RANKINGS

Top 27,325

in Total Papers Citations

15

CROSSREF CITATIONS

18

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

Scholarly Papers (23)

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, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 20,088 (191)

Abstract:

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

2.

Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)

Number of pages: 38 Posted: 20 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 18,705 (220)

Abstract:

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Deep Reinforcement Learning, Portfolio selection, Hedge

3.

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, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 18,158 (236)

Abstract:

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4.

Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)

Number of pages: 19 Posted: 28 Sep 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 15,064 (340)

Abstract:

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Deep Reinforcement Learning, Hedge selection

5.

Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)

Number of pages: 37 Posted: 25 Oct 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 13,471 (425)

Abstract:

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Deep RL, Markowitz, Convolution network

6.

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 11,037 (611)

Abstract:

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Machine Learning, GBDT

7.

Deep Reinforcement Learning (DRL) for Portfolio Allocation

ECML PKDD Demo track 2020
Number of pages: 5 Posted: 02 Jul 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 10,235 (698)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio Selection

8.

DRLPS: Deep Reinforcement Learning for Portfolio Selection (Presentation Slides ECML PKDD)

ECML PKDD Demo track, 2021
Number of pages: 11 Posted: 06 Jul 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 9,946 (737)

Abstract:

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9.

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 9,189 (850)
Citation 1

Abstract:

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regime changes, regime detection, machine learning

10.

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 7,377 (1,243)
Citation 1

Abstract:

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market crash, GBDT, Shapley

11.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 10 Posted: 28 Jan 2021 Last Revised: 06 May 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 7,061 (1,336)
Citation 7

Abstract:

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Deep Reinforcement Learning, Portfolio selection

12.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702112
Number of pages: 9 Posted: 28 Jan 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale and SGCIB
Downloads 6,948 (1,371)
Citation 8

Abstract:

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Deep Reinforcement Learning, Portfolio selection

13.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702113
Number of pages: 15 Posted: 28 Jan 2021
Université Paris Dauphine, Université Paris Dauphine, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 6,889 (1,402)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

14.

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

Université Paris-Dauphine Research Paper No. 3688353
Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 16 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and Université Paris Dauphine
Downloads 6,744 (1,459)
Citation 5

Abstract:

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Deep Reinforcement Learning, Portfolio selection

15.

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 Last Revised: 14 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 6,624 (1,497)
Citation 1

Abstract:

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

16.

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 5,179 (2,249)

Abstract:

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17.

Trade Selection with Supervised Learning and OCA

ECML PKDD worshop MIDAS 2020, ECML PKDD worshop MIDAS 2020
Number of pages: 16 Posted: 27 Dec 2018 Last Revised: 21 Jun 2021
David Saltiel, Eric Benhamou, Rida Laraki and Jamal Atif
Université Paris Dauphine, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 4,508 (2,922)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

18.

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 4,476 (2,955)
Citation 1

Abstract:

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19.

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
Université Paris Dauphine, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 4,341 (3,096)
Citation 1

Abstract:

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Graphical Model, Natural Gradient, Overfitting

20.

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 3,903 (3,700)
Citation 1

Abstract:

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

21.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Université Paris Dauphine, Université Paris Dauphine, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2,672 (6,968)
Citation 6

Abstract:

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

22.

Feature Selection With Optimal Coordinate Ascent (OCA)

Number of pages: 14 Posted: 20 Dec 2018
David Saltiel and Eric Benhamou
Université Paris Dauphine and Université Paris Dauphine
Downloads 2,585 (7,382)
Citation 1

Abstract:

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feature selection, coordinate ascent, gradient boosting method

23.

Deep Decoding of Strategies

Number of pages: 20 Posted: 16 Jun 2022
AI For Alpha, Université Paris Dauphine, Université Paris Dauphine and AI For Alpha
Downloads 1,237 (23,430)

Abstract:

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Decoding, risk management

Other Papers (18)

Total Downloads: 32,452
1.

Introduction to Deep Reinforcement Learning (Dauphine AI Summer School - Presentation Slides)

Number of pages: 25 Posted: 22 Jun 2021 Last Revised: 15 Nov 2021
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 13,862

Abstract:

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2.

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 2,269

Abstract:

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3.

Deep Reinforcement Learning - Masterclass 1 - Introduction and Course Overview

Number of pages: 53 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,351

Abstract:

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Deep Reinforcement Learning

4.

Deep Reinforcement Learning - Masterclass 4 - Introduction to Reinforcement Learning

Number of pages: 52 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,345

Abstract:

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Deep Reinforcement Learning

5.

Deep Reinforcement Learning - Masterclass 2 - Supervised Learning of Behaviors

Number of pages: 55 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,333

Abstract:

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Deep Reinforcement Learning, Supervised Learning of behaviors, Imitation learning

6.

Deep Reinforcement Learning - Masterclass 5 - Policy Gradient (Reinforce and Beyond)

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,328

Abstract:

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Deep Reinforcement Learning, Policy Gradient

7.

Deep Reinforcement Learning - Masterclass 6 - Actor Critic Methods

Number of pages: 40 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,325

Abstract:

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Deep Reinforcement Learning, Actor-Critic Algorithms

8.

Deep Reinforcement Learning - Masterclass 3 - Introduction to Pytorch

Number of pages: 15 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 1,324

Abstract:

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Deep Reinforcement Learning, pytorch

9.

Deep Reinforcement Learning - Masterclass 11 - Optimal Control and Planning

Number of pages: 47 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 895

Abstract:

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Optimal Control and Planning

10.

Deep Reinforcement Learning - Masterclass 10 - Applying Deep RL in Practice with Kaggle

Number of pages: 16 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 886

Abstract:

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Planning, Deep Reinforcement Learning, Kaggle

11.

Deep Reinforcement Learning - Masterclass 8 - Deep Q Learning

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 880

Abstract:

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Deep Q-Learning, Deep Reinforcement Learning

12.

Deep Reinforcement Learning - Masterclass 13 - Model-Based Policy Learning Part 2

Number of pages: 48 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 879

Abstract:

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model-free learning in model based RL

13.

Deep Reinforcement Learning - Masterclass 9 - Advanced Policy Gradients

Number of pages: 26 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 876

Abstract:

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Advanced Policy Gradients, Deep Reinforcement Learning, Natural Gradient

14.

Deep Reinforcement Learning - Masterclass 12 - Model-Based Reinforcement Learning

Number of pages: 42 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 875

Abstract:

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Model-based RL, Uncertainty in RL

15.

Deep Reinforcement Learning - Masterclass 7 - Value Function Methods

Number of pages: 29 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 873

Abstract:

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Value Function Methods, Deep Reinforcement Learning

16.

Deep Reinforcement Learning - Masterclass 14 - Exploration Part 1 - UCB Thompson Sampling and Information Gain

Number of pages: 47 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 719

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Exploration, UCB, Thompson sampling, information gain, counting with hashes

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Offline RL, Generalization gap, Distribution shift, Batch RL via Importance Sampling and Linear Fitted Value Functions

18.

Deep Reinforcement Learning - Masterclass 15 - Exploration Part 2 - Reinforcement Learning without Rewards, Reaching Goals and Learning Skills

Number of pages: 31 Posted: 24 Mar 2022
Eric Benhamou and David Saltiel
Université Paris Dauphine and Université Paris Dauphine
Downloads 715

Abstract:

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information theory, entropy, Kullback Leibler divergence, reinforcement learning without rewards