Joan Gonzalvez

Ecole Normale Supérieure (ENS) de Lyon

15, parvis Rene Descartes BP 7000

Lyon Cedex 07, 69342

France

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

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Scholarly Papers (1)

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Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli and Jiali Xu
Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Societe Generale
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Abstract:

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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick