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2019

Financial Applications of Gaussian Processes and Bayesian Optimization

Gonzalvez, Joan, Lezmi, Edmond, Roncalli, Thierry et al.

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In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning.

In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization.
Gaussian processes can be seen as a generalization of Gaussian random vectors and are associated with the development of kernel methods.
Bayesian optimization is an approach for performing derivative-free global optimization in a small dimension, and uses Gaussian processes to locate the global maximum of a black-box function.

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