Philippe Casgrain

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@inproceedings{casgrain2019latent,
  author = {Casgrain, Philippe},
  booktitle = {Advances in Neural Information Processing Systems},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  pdflink = {http://arxiv.org/pdf/1905.01707},
  title = {A Latent Variational Framework for Stochastic Optimization},
  year = {2019}}

@article{casgrain2018algorithmic,
  author = {Casgrain, Philippe and Jaimungal, Sebastian},
  award = {Winner of the best finance paper award at INFORMS 2018},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  journal = {arXiv preprint arXiv:1803.04094},
  pdflink = {http://arxiv.org/pdf/1803.04094},
  title = {Algorithmic trading with partial information: A mean field game approach},
  year = {2018}}

@article{casgrain2019deep,
  author = {Casgrain, Philippe and Ning, Brian and Jaimungal, Sebastian},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  journal = {arXiv preprint arXiv:1904.10554},
  pdflink = {http://arxiv.org/pdf/1904.10554},
  title = {Deep Q-Learning for Nash Equilibria: Nash-DQN},
  year = {2019}}

@article{casgrain2018mean,
  author = {Casgrain, Philippe and Jaimungal, Sebastian},
  award = {Winner of the best paper award at SIAM FM19},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  journal = {Mathematical Finance},
  pdflink = {http://arxiv.org/pdf/1810.06101},
  title = {Mean-field games with differing beliefs for algorithmic trading},
  year = {2020}}

@article{casgrain2020optimizing,
  author = {Casgrain, Philippe and Kratsios, Anastasis},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  journal = {arXiv preprint arXiv:2101.00041},
  pdflink = {https://arxiv.org/abs/2101.00041},
  title = {Optimizing Optimizers: Regret-optimal gradient descent algorithms},
  year = {2020}}

@article{casgrain2019trading,
  author = {Casgrain, Philippe and Jaimungal, Sebastian},
  date-added = {2021-03-08 15:42:03 -0500},
  date-modified = {2021-03-08 15:42:03 -0500},
  journal = {Mathematical Finance},
  number = {3},
  pages = {735--772},
  pdflink = {http://arxiv.org/pdf/1806.04472},
  publisher = {Wiley Online Library},
  title = {Trading algorithms with learning in latent alpha models},
  volume = {29},
  year = {2019}}

Philippe Casgrain

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Philippe Casgrain

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