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David SALTIEL

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David SALTIEL

Trade Selection with Supervised Learning and OCA

David Saltiel, Eric Benhamou. Trade Selection with Supervised Learning and OCA. ECML PKDD MIDAS 2021, Sep 2021, Bilbao (online), Spain. ⟨10.1007/978-3-030-66981-2\_1⟩. ⟨hal-02012476⟩

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Regime change detection with GBDT and Shapley values

Eric Benhamou, Jean Jacques Ohana, David Saltiel, Beatrice Guez. Regime change detection with GBDT and Shapley values. 2021. ⟨hal-03320304⟩

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Detecting crisis event with Gradient Boosting Decision Trees

Eric Benhamou, Jean Jacques Ohana, David Saltiel, Beatrice Guez. Detecting crisis event with Gradient Boosting Decision Trees. 2021. ⟨hal-03320297⟩

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Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models

Eric Benhamou, David Saltiel, Serge Tabachnik, Sui Kai Wong, François Chareyron. Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models. 2021. ⟨hal-03202431⟩

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Is the Covid equity bubble rational? A machine learning answer

Jean Jacques Ohana, Eric Benhamou, David Saltiel, Beatrice Guez. Is the Covid equity bubble rational? A machine learning answer. 2021. ⟨hal-03189799⟩

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Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning

Eric Benhamou, David Saltiel, Jean-Jacques Ohana, Jamal Atif. Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning. ICPR 2020 - 25th International Conference on Pattern Recognition (ICPR), Jan 2021, Milan, France. pp.10050-10057, ⟨10.1109/ICPR48806.2021.9412958⟩. ⟨hal-03815026⟩

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BCMA-ES: a conjugate prior Bayesian optimization view

Eric Benhamou, David Saltiel, Rida Laraki, Jamal Atif. BCMA-ES: a conjugate prior Bayesian optimization view. 2020. ⟨hal-02977523⟩

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AAMDRL: Augmented Asset Management with Deep Reinforcement Learning

Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay, Jamal Atif. AAMDRL: Augmented Asset Management with Deep Reinforcement Learning. 2020. ⟨hal-02977535⟩

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Time your hedge with Deep Reinforcement Learning

Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay. Time your hedge with Deep Reinforcement Learning. ICAPS Workshop on Planning for Financial Services (FinPlan 2020), Oct 2020, Online, France. ⟨hal-02977533⟩

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Bridging the gap between Markowitz planning and deep reinforcement learning

Eric Benhamou, David Saltiel, Sandrine Ungari, Abhishek Mukhopadhyay. Bridging the gap between Markowitz planning and deep reinforcement learning. ICAPS PRL, 30th International Conference on Automated Planning and Scheduling - ICAPS PRL 2020, Oct 2020, Nancy (Online), France. ⟨hal-02977530⟩

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Trade Selection with Supervised Learning and Optimal Coordinate Ascent (OCA)

David Saltiel, Eric Benhamou, Rida Laraki, Jamal Atif. Trade Selection with Supervised Learning and Optimal Coordinate Ascent (OCA). 5th ECML PKDD Workshop, MIDAS 2020, Sep 2020, Ghent, Belgium. pp.1-15, ⟨10.1007/978-3-030-66981-2_1⟩. ⟨hal-03767962⟩

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Deep Reinforcement Learning (DRL) for portfolio allocatio

Eric Benhamou, David Saltiel, Jean-Jacques Ohana, Jamal Atif, Rida Laraki. Deep Reinforcement Learning (DRL) for portfolio allocatio. The European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, Sep 2020, Ghent, Belgium. ⟨hal-03084813⟩

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BCMA-ES: A Bayesian approach to CMA-ES

Eric Benhamou, David Saltiel, Sébastien Verel, Fabien Teytaud. BCMA-ES: A Bayesian approach to CMA-ES. GECCO 2020 - The Genetic and Evolutionary Computation Conference, Jul 2020, ONLINE, Mexico. ⟨hal-02886512⟩

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Bayesian CMA-ES: a new approach

Eric Benhamou, David Saltiel, Sébastien Verel, Fabien Teytaud. Bayesian CMA-ES: a new approach. GECCO '20: Genetic and Evolutionary Computation Conference, Jul 2020, Cancún, Mexico. pp.203-204, ⟨10.1145/3377929.3389913⟩. ⟨hal-03814858⟩

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BCMA-ES II: revisiting Bayesian CMA-ES

Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris. BCMA-ES II: revisiting Bayesian CMA-ES. 2020. ⟨hal-02886508⟩

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Sélection efficace de variables par descente par coordonnée avec garanties théoriques

David Saltiel, Eric Benhamou. Sélection efficace de variables par descente par coordonnée avec garanties théoriques. 2020. ⟨hal-02886506⟩

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NGO-GM: Natural Gradient Optimization for Graphical Models

Eric Benhamou, Jamal Atifl, Rida Laraki, David Saltiel. NGO-GM: Natural Gradient Optimization for Graphical Models. 2020. ⟨hal-02886514⟩

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Testing Sharpe ratio: luck or skill?

Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris. Testing Sharpe ratio: luck or skill?. 2020. ⟨hal-02886500⟩

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Sélection efficace de variables par montée par coordonnée avec garanties théoriques

David Saltiel, Eric Benhamou. Sélection efficace de variables par montée par coordonnée avec garanties théoriques. [Rapport de recherche] Université du Littoral Côte d'Opale. 2019. ⟨hal-02138132⟩

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Feature selection with optimal coordinate ascent (OCA)

David Saltiel, Eric Benhamou. Feature selection with optimal coordinate ascent (OCA). 2019. ⟨hal-02012473⟩

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