Neural network empowered liquidity pricing in a two-price economy under conic finance settings-Reference-Cited by-同舟云学术

Neural network empowered liquidity pricing in a two-price economy under conic finance settings

Published:2024-08-29 Issue: Volume: Page:1-28
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Michielon Matteo¹²,Franquinho Diogo³^ORCID,Gentile Alessandro⁴,Khedher Asma²,Spreij Peter²⁵^ORCID

Affiliation:

1. Quantitative Analysis and Quantitative Development, ABN AMRO Bank N.V., Gustav Mahlerlaan 10, Amsterdam, 1082 PP, The Netherlands

2. Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Science Park 105-107, Amsterdam, 1098 XG, The Netherlands

3. Department of Mathematics, Instituto Superior Técnico, Universidade de Lisboa, Lisboa, 1049-001, Portugal

4. Energy Services B.V., Joan Muyskenweg 22, Amsterdam, 1096 CJ, The Netherlands

5. Institute for Mathematics, Astrophysics and Particle Physics, Radboud University Nijmegen, Huygens building, Heyendaalseweg 135, Nijmegen, 6525 AJ, The Netherlands

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2390947

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