Título:

Neural Network Empowered Liquidity Pricing in a Two-Price Economy under Conic Finance Settings

Autores:

Matteo Michielon (U Amsterdam, ABN AMRO Bank)
Diogo Franquinho (U Lisboa)
Alessandro Gentile (Energy Services BV, Amsterdam)
Asma Khedher (U Amsterdam)
Peter Spreij (U Amsterdam, Radboud University)

Revista:

Quantitative Finance

Ano:

2024

Volume:

24

Número:

8

Páginas:

1129-1156

Códigos JEL:

C45 - Neural Networks and Related Topics
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1080/14697688.2024.2390947