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

DOWNLOADS
Rank 7,148

SSRN RANKINGS

Top 7,148

in Total Papers Downloads

7,667

SSRN CITATIONS
Rank 40,312

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)

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
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

Abstract:

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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
LAMSADE- Paris Dauphine University, A.I. Square Connect, affiliation not provided to SSRN and Université Paris Dauphine
Downloads 685 (46,118)
Citation 3

Abstract:

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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

Abstract:

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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

Abstract:

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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
LAMSADE- Paris Dauphine University, A.I. Square Connect, A.I. Square Connect and A.I. Square Connect
Downloads 613 (53,451)
Citation 1

Abstract:

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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
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

Abstract:

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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
LAMSADE- Paris Dauphine University, A.I. Square Connect, Societe Generale and SGCIB
Downloads 573 (58,162)
Citation 2

Abstract:

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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
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)

Abstract:

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9.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

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

Abstract:

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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
LAMSADE- Paris Dauphine University, A.I. Square Connect, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 527 (64,644)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

11.

Testing Sharpe Ratio: Luck or Skill?

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

Abstract:

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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)

Abstract:

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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
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

Abstract:

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

Other Papers (1)

Total Downloads: 47
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
affiliation not provided to SSRN, ESCP Europe, LAMSADE- Paris Dauphine University, A.I. Square Connect and A.I. Square Connect
Downloads 47

Abstract:

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