Igor Halperin

Fidelity Investments, Inc.

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN RANKINGS

Top 5,523

in Total Papers Downloads

9,564

SSRN CITATIONS
Rank 26,080

SSRN RANKINGS

Top 26,080

in Total Papers Citations

17

CROSSREF CITATIONS

19

Scholarly Papers (10)

1.

The Four Horsemen of Machine Learning in Finance

Number of pages: 24 Posted: 24 Sep 2019
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads 2,672 (5,957)
Citation 3

Abstract:

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machine learning, asset management, optimal hedging, neural networks, price impact

2.

QLBS: Q-Learner in the Black-Scholes (-Merton) Worlds

Number of pages: 30 Posted: 15 Dec 2017 Last Revised: 04 Sep 2019
Igor Halperin
Fidelity Investments, Inc.
Downloads 2,648 (6,041)
Citation 19

Abstract:

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Option Pricing, Reinforcement Learning, Black-Scholes Model

3.

The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios

Number of pages: 18 Posted: 17 Jan 2018
Igor Halperin
Fidelity Investments, Inc.
Downloads 1,160 (22,313)
Citation 5

Abstract:

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Option Pricing, Reinforcement Learning, Black-Scholes Model

4.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Igor Halperin and Ilya Feldshteyn
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,075 (24,917)
Citation 5

Abstract:

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Optimal trading, Reinforcement Learning, Invisible Hand, Inverse Reinforcement Learning, self-organization, non-equilibrium dynamics, mean reversion

5.

'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Number of pages: 51 Posted: 15 Aug 2018 Last Revised: 29 May 2019
Igor Halperin and Matthew Francis Dixon
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 577 (58,194)
Citation 2

Abstract:

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Geometric Brownian Motion, Financial Markets, Non-Equilibrium, Physics, Phase Transitions, Supersymmetry

6.

G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning

Number of pages: 20 Posted: 20 Mar 2020 Last Revised: 23 Mar 2020
Matthew Francis Dixon and Igor Halperin
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads 326 (114,477)
Citation 1

Abstract:

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G-learning, goal based wealth management, imitation learning, reinforcement learning

7.

Relative Option Pricing in the QLBS Model (Supplementary Note)

Number of pages: 2 Posted: 26 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 312 (119,970)
Citation 2

Abstract:

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8.

Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry

Number of pages: 45 Posted: 14 Jan 2021
Igor Halperin
Fidelity Investments, Inc.
Downloads 275 (137,097)

Abstract:

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Non-Equilibrium Market Dynamics, Langevin Dynamics, Non-Perturbative Methods, Quantum Mechanics, Supersymmetry, the Black-Scholes Model

9.

Inverse Reinforcement Learning for Marketing

Number of pages: 18 Posted: 15 Dec 2017
Igor Halperin
Fidelity Investments, Inc.
Downloads 270 (139,608)
Citation 3

Abstract:

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Marketing Strategies, Consumer Utility, Inverse Reinforcement Learning

10.

The Inverted Parabola World of Classical Quantitative Finance: Non-Equilibrium and Non-Perturbative Finance Perspective

Number of pages: 14 Posted: 23 Sep 2020
Igor Halperin
Fidelity Investments, Inc.
Downloads 249 (151,499)
Citation 1

Abstract:

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Geometric Brownian Motion, stochastic volatility, classical quantitative finance, physics, Langevin equations, negative mass oscillator, instantons