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

22

DOWNLOADS
Rank 63

SSRN RANKINGS

Top 63

in Total Papers Downloads

127,221

SSRN CITATIONS
Rank 27,714

SSRN RANKINGS

Top 27,714

in Total Papers Citations

15

CROSSREF CITATIONS

18

Ideas:
“  I'm currently working on Deep Reinforcement Learning methods applied to finance  ”

Scholarly Papers (22)

1.

Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)

Number of pages: 38 Posted: 20 Sep 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 9,159 (756)

Abstract:

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Deep Reinforcement Learning, Portfolio selection, Hedge

2.

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 9,155 (754)

Abstract:

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Machine Learning, GBDT

3.

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 9,092 (764)
Citation 1

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regime changes, regime detection, machine learning

4.

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 8,601 (834)

Abstract:

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5.

Deep Reinforcement Learning (DRL) for Portfolio Allocation

ECML PKDD Demo track 2020
Number of pages: 5 Posted: 02 Jul 2021
Université Paris Dauphine, A.I. Square Connect, Université Paris Dauphine, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 8,566 (846)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio Selection

6.

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 8,320 (886)

Abstract:

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

7.

DRLPS: Deep Reinforcement Learning for Portfolio Selection (Presentation Slides ECML PKDD)

ECML PKDD Demo track, 2021
Number of pages: 11 Posted: 06 Jul 2021
Université Paris Dauphine, A.I. Square Connect, Université Paris Dauphine, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 8,206 (909)

Abstract:

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8.

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 5,660 (1,726)
Citation 1

Abstract:

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market crash, GBDT, Shapley

9.

Time Your Hedge With Deep Reinforcement Learning

Number of pages: 10 Posted: 28 Jan 2021 Last Revised: 06 May 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 5,439 (1,840)
Citation 6

Abstract:

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Deep Reinforcement Learning, Portfolio selection

10.

Bridging the Gap Between Markowitz Planning and Deep Reinforcement Learning

Number of pages: 9 Posted: 28 Jan 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 5,362 (1,887)
Citation 7

Abstract:

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Deep Reinforcement Learning, Portfolio selection

11.

AAMDRL: Augmented Asset Management With Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3702113
Number of pages: 15 Posted: 28 Jan 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale, Université Paris Dauphine and SGCIB
Downloads 5,336 (1,909)
Citation 1

Abstract:

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Deep Reinforcement Learning, Portfolio selection

12.

Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)

Number of pages: 19 Posted: 28 Sep 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 5,230 (1,975)

Abstract:

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Deep Reinforcement Learning, Hedge selection

13.

Detecting and Adapting to Crisis Pattern with Context Based Deep Reinforcement Learning

Université Paris-Dauphine Research Paper No. 3688353
Number of pages: 9 Posted: 10 Sep 2020 Last Revised: 16 Jun 2021
Université Paris Dauphine, A.I. Square Connect, Université Paris Dauphine and Université Paris Dauphine
Downloads 5,221 (1,985)
Citation 5

Abstract:

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Deep Reinforcement Learning, Portfolio selection

14.

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 Last Revised: 14 Jun 2021
Université Paris Dauphine, A.I. Square Connect, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 5,126 (2,054)
Citation 1

Abstract:

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

15.

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:

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16.

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 (2,636)
Citation 1

Abstract:

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17.

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
Université Paris Dauphine, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 4,070 (3,088)
Citation 1

Abstract:

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Graphical Model, Natural Gradient, Overfitting

18.

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 (3,320)
Citation 1

Abstract:

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

19.

Bridging the gap between Markowitz planning and deep reinforcement learning (ICAPS PRL Presentation Slides 2020)

Number of pages: 37 Posted: 25 Oct 2021
Université Paris Dauphine, A.I. Square Connect, Societe Generale and SGCIB
Downloads 3,090 (4,975)

Abstract:

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Deep RL, Markowitz, Convolution network

20.

Trade Selection with Supervised Learning and OCA

ECML PKDD worshop MIDAS 2020, ECML PKDD worshop MIDAS 2020
Number of pages: 16 Posted: 27 Dec 2018 Last Revised: 21 Jun 2021
David Saltiel, Eric Benhamou, Rida Laraki and Jamal Atif
A.I. Square Connect, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and Université Paris Dauphine
Downloads 3,085 (4,991)

Abstract:

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Trade Selection, OCA, Supervised Learning, Features Selection

21.

BCMA-ES: A Bayesian Approach to 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, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2,670 (6,289)
Citation 6

Abstract:

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CMA-ES, Bayesian, Conjugate Prior, Normal-Inverse-Wishart

22.

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 Université Paris Dauphine
Downloads 2,581 (6,646)
Citation 1

Abstract:

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feature selection, coordinate ascent, gradient boosting method

Other Papers (2)

Total Downloads: 14,743
1.

Introduction to Deep Reinforcement Learning (Dauphine AI Summer School - Presentation Slides)

Number of pages: 25 Posted: 22 Jun 2021 Last Revised: 15 Nov 2021
Eric Benhamou and David Saltiel
Université Paris Dauphine and A.I. Square Connect
Downloads 12,478

Abstract:

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2.

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 2,265

Abstract:

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