{"id":"W7126407628","doi":"10.21428/594757db.fff2144f","title":"Deep Hedging with Market Impact","year":2024,"lang":"en","type":"article","venue":"","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université du Québec à Montréal; Concordia University","funders":"","keywords":"Portfolio; Market liquidity; Reinforcement learning; Factoring; Market impact; Replicating portfolio; Investment (military); Forward contract","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.0008539663,0.00006925288,0.00008800408,0.0001973062,0.00005208235,0.0005836838,0.0001643697,0.00001949951,0.008381972],"category_scores_gemma":[0.0001219194,0.00003248233,0.00005423974,0.000859498,0.0000226039,0.0003868548,0.00002231891,0.00005095546,0.0006269243],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001573047,"about_ca_system_score_gemma":0.00005809157,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00002998163,"about_ca_topic_score_gemma":0.00003252537,"domain_scores_codex":[0.9989271,0.00003707108,0.0001726772,0.0002287035,0.0005040529,0.0001303609],"domain_scores_gemma":[0.9992932,0.0003123343,0.00002358467,0.0002297463,0.00007078354,0.0000703618],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00006696237,0.0000201899,0.05768523,0.000002774244,0.0000459654,0.0001427522,0.000832421,0.03854293,0.00002424061,0.003624901,0.3082838,0.5907278],"study_design_scores_gemma":[0.0000901682,0.00007223983,0.01321252,0.00001343984,0.000009494113,0.00007370658,0.0003526286,0.903055,0.00006944408,0.007026803,0.07588962,0.0001349295],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"other","genre_gemma":"empirical","genre_scores_codex":[0.02817366,0.0004465914,0.47574,0.0004455879,0.0002549374,0.00007549699,0.000001650161,0.0001420688,0.49472],"genre_scores_gemma":[0.9620834,0.00009050266,0.004720277,0.00008931991,0.00006456358,0.000002099083,0.000001578138,0.000008158117,0.03294012],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9339097,"threshold_uncertainty_score":0.9925245,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0398853827878986,"score_gpt":0.3894035780272928,"score_spread":0.3495181952393941,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}