Advanced RL Methods in Finance

Igor Halperin is a former Research Professor of Financial Machine Learning at NYU Tandon School of Engineering, specializing in applying advanced methods from reinforcement learning, information theory, neuroscience, and physics to financial problems. His research focuses on areas such as portfolio optimization, dynamic risk management, and the inference of sequential decision-making processes of financial agents. With extensive industrial experience in statistical and financial modeling, Igor has worked in areas like option pricing, credit portfolio risk modeling, and operational risk modeling. He previously held the position of Executive Director of Quantitative Research at JPMorgan and served as a quantitative researcher at Bloomberg LP. Igor has published widely in finance and physics journals and is a frequent speaker at financial conferences. He is also the co-author of Credit Risk Frontiers, published by Bloomberg LP. Holding a Ph.D. in theoretical high energy physics from Tel Aviv University and an M.Sc. in nuclear physics from St. Petersburg State Technical University, Igor advises several fintech and data science start-ups as well as risk management firms.