Ge Zhang

Institute of Data Science, National University of Singapore

Ph.D. candidate

3 Research Link, #04-06

Singapore, 117602

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

441

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Reinforcement Learning for Optimal Market Making with the Presence of Rebate

Number of pages: 34 Posted: 05 Aug 2020
Ge Zhang and Ying Chen
Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 238 (187,180)
Citation 1

Abstract:

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Optimal market making, Rebate, Reinforcement learning

2.

Optimal Execution with Hidden Orders Under Self-Exciting Dynamics

Number of pages: 56 Posted: 01 Oct 2021
Ying Chen, Zexin Wang, Ge Zhang and Chao Zhou
National University of Singapore (NUS) - Department of Mathematics, Imperial College London - Department of Mathematics, Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 137 (301,933)

Abstract:

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hidden order, optimal execution, stochastic control, Hawkes process

3.

Regularized Partially Functional Autoregressive Model

Number of pages: 43 Posted: 15 Nov 2019 Last Revised: 23 Nov 2021
National University of Singapore, National University of Singapore, Institute of Data Science, National University of Singapore and Technische Universitat Berlin - Software and Algorithms for Discrete Optimization
Downloads 66 (480,148)
Citation 1

Abstract:

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Functional Data, High Dimensionality, Mixed-Type Covariates, Two-Layer Sparsity, Energy Forecasting