Beatrice Guez

AI For Alpha

35 boulevard d'Inkermann

Neuilly sur Seine, 92200

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 332

SSRN RANKINGS

Top 332

in Total Papers Downloads

67,928

SSRN CITATIONS
Rank 45,953

SSRN RANKINGS

Top 45,953

in Total Papers Citations

12

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

Planning in Financial Markets in Presence of Spikes: Using Machine Learning GBDT

Number of pages: 9 Posted: 17 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, A.I. Square Connect and AI For Alpha
Downloads 9,190 (750)

Abstract:

Loading...

Machine Learning, GBDT

2.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Number of pages: 9 Posted: 13 Jun 2021 Last Revised: 06 Oct 2021
Université Paris Dauphine, Université Paris Dauphine, A.I. Square Connect, AI For Alpha and affiliation not provided to SSRN
Downloads 9,093 (764)
Citation 1

Abstract:

Loading...

regime changes, regime detection, machine learning

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, A.I. Square Connect, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 8,639 (831)

Abstract:

Loading...

4.

Adaptive Supervised Learning for Volatility Targeting Models (Ecml Pkdd Midas 2021 Presentation Slides)

Number of pages: 17 Posted: 20 Sep 2021
Université Paris Dauphine, A.I. Square Connect, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 8,370 (882)

Abstract:

Loading...

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

5.

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: 22 Aug 2021
Université Paris Dauphine, affiliation not provided to SSRN, Université Paris Dauphine, A.I. Square Connect and AI For Alpha
Downloads 5,693 (1,710)
Citation 1

Abstract:

Loading...

market crash, GBDT, Shapley

6.

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, A.I. Square Connect, AI For Alpha, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 4,889 (2,241)

Abstract:

Loading...

7.

Computation of the marginal contribution of Sharpe ratio and other performance ratios

Université Paris-Dauphine Research Paper Forthcoming
Number of pages: 20 Posted: 14 Apr 2021
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 4,649 (2,460)

Abstract:

Loading...

Marginal contribution, Sharpe, Treynor, recovery and incremental Sharpe ratio, portfolio analysis

8.

Omega and Sharpe Ratio

Number of pages: 10 Posted: 30 Oct 2019
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 4,507 (2,588)

Abstract:

Loading...

Omega ratio, Sharpe ratio, normal distribution, elliptical distribution

9.

Testing Sharpe Ratio: Luck or Skill?

Number of pages: 56 Posted: 07 Jun 2019
Université Paris Dauphine, A.I. Square Connect, AI For Alpha and A.I. Square Connect
Downloads 4,464 (2,637)
Citation 1

Abstract:

Loading...

10.

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, A.I. Square Connect, AI For Alpha and A.I. Square Connect
Downloads 3,899 (3,322)
Citation 1

Abstract:

Loading...

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

11.

Three Remarkable Properties of the Normal Distribution

Number of pages: 12 Posted: 27 Oct 2018
Eric Benhamou, Beatrice Guez and Nicolas Paris
Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 2,449 (7,237)
Citation 3

Abstract:

Loading...

Geary Theorem, Levy Cramer Theorem, Independence Between Sample Mean and Variance

12.

Incremental Sharpe and Other Performance Ratios

Number of pages: 18 Posted: 26 Aug 2018 Last Revised: 24 Sep 2018
Eric Benhamou and Beatrice Guez
Université Paris Dauphine and AI For Alpha
Downloads 2,086 (9,361)

Abstract:

Loading...

C12, G11

Other Papers (1)

Total Downloads: 2,266
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 Last Revised: 15 Nov 2021
Université Paris Dauphine, affiliation not provided to SSRN, Université Paris Dauphine, A.I. Square Connect and AI For Alpha
Downloads 2,266

Abstract:

Loading...