Gaussian process-based algorithmic trading strategy identification

DOI10.1080/14697688.2015.1011684zbMath1398.91555OpenAlexW2051828847MaRDI QIDQ4683063

Andrei A. Kirilenko, Qifeng Qiao, Steve Y. Yang, Peter A. Beling, William T. Scherer

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1011684

zbMATH Keywords

Gaussian processMarkov decision processhigh-frequency tradingsupport vector machinealgorithmic tradingbehavioural financeinverse reinforcement learning

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

Related Items (2)

Deep learning for limit order books ⋮ Disentangling and quantifying market participant volatility contributions

Cites Work

• No-dynamic-arbitrage and market impact
• Unnamed Item

This page was built for publication: Gaussian process-based algorithmic trading strategy identification