Title:

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

Authors:

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)

Journal:

Quantitative Finance

Year:

2024

Volume:

24

Number:

8

Pages:

1129-1156

JEL codes:

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

DOI:

10.1080/14697688.2024.2390947