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Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
Lam, Henry; Li, Haidong; Zhang, Xuhui - In: Operations research letters 49 (2021) 1, pp. 40-47
Persistent link: https://www.econbiz.de/10012485995
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei; Ihnatiuk, Vitalii; Chen, Yu; Lin, Jiahe; … - In: Quantitative finance 24 (2024) 5, pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
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Enhanced balancing of bias-variance tradeoff in stochastic estimation : a minimax perspective
Lam, Henry; Zhang, Xinyu; Zhang, Xuhui - In: Operations research 71 (2023) 6, pp. 2352-2373
Persistent link: https://www.econbiz.de/10014445044