20102019
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Fingerprint Fingerprint is based on mining the text of the expert's scholarly documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

  • 1 Similar Profiles
Stochastic Gradient Mathematics
Gradient Descent Mathematics
Partial differential equations Engineering & Materials Science
Fluctuations Mathematics
Neural networks Engineering & Materials Science
Weak Convergence Mathematics
Mean Field Mathematics
Galerkin methods Engineering & Materials Science

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Research Output 2010 2019

  • 11 Article
  • 1 Conference contribution

Deep learning for limit order books

Sirignano, J. A., Apr 3 2019, In : Quantitative Finance. 19, 4, p. 549-570 22 p.

Research output: Contribution to journalArticle

Limit order book
Deep learning
Neural networks
Network model
Logistic regression

Inference for large financial systems

Giesecke, K., Schwenkler, G. & Sirignano, J. A., Jan 1 2019, In : Mathematical Finance.

Research output: Contribution to journalArticle

financial system
Parameter estimation
Numerical methods
Mean-field Model
Likelihood

Mean field analysis of neural networks: A central limit theorem

Sirignano, J. A. & Spiliopoulos, K., Jan 1 2019, In : Stochastic Processes and their Applications.

Research output: Contribution to journalArticle

Central limit theorem
Mean Field
Relative Compactness
Neural Networks
Fluctuations

Risk analysis for large pools of loans

Sirignano, J. A. & Giesecke, K., Jan 2019, In : Management Science. 65, 1, p. 107-121 15 p.

Research output: Contribution to journalArticle

Risk analysis
Loans
Approximation
Asset-backed securities
Mortgages

Universal features of price formation in financial markets: perspectives from deep learning

Sirignano, J. A. & Cont, R., Jan 1 2019, In : Quantitative Finance. 19, 9, p. 1449-1459 11 p.

Research output: Contribution to journalArticle

Deep learning
Financial markets
Price formation
Assets
Order flow