no code implementations • 19 Feb 2024 • Sebastian Jaimungal, Xiaofei Shi
When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay?
2 code implementations • 2 Nov 2021 • Xiaofei Shi, Daran Xu, Zhanhao Zhang
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their scalability of trading time horizon.
no code implementations • 27 Nov 2020 • Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs.
no code implementations • 12 Dec 2019 • Xiaofei Shi, David P. Woodruff
For example, in the overconstrained $(1+\epsilon)$-approximate polynomial interpolation problem, $A$ is a Vandermonde matrix and $T(A) = O(n \log n)$; in this case our running time is $n \cdot \poly(\log n) + \poly(d/\epsilon)$ and we recover the results of \cite{avron2013sketching} as a special case.
no code implementations • IJCNLP 2019 • Xiaofei Shi, Yanghua Xiao
We calibrate embeddings of different KGs via a small set of pre-aligned seeds.
1 code implementation • 16 Jun 2018 • Yichong Xu, Han Zhao, Xiaofei Shi, Jeremy Zhang, Nihar B. Shah
We then empirically show that the requisite property on the authorship graph is indeed satisfied in the submission data from the ICLR conference, and further demonstrate a simple trick to make the partitioning method more practically appealing for conference peer review.