Deep differentiable reinforcement learning and optimal trading

DOI10.1080/14697688.2022.2062431zbMath1497.91295arXiv2112.02944OpenAlexW4293077149MaRDI QIDQ5092657

Thibault Jaisson

Publication date: 22 July 2022

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

Full work available at URL: https://arxiv.org/abs/2112.02944

zbMATH Keywords

dynamic programmingstochastic controlreinforcement learningoptimal tradingdeep learningdifferentiablemulti-scale signals

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20) Financial markets (91G15)

Cites Work

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• \({\mathcal Q}\)-learning
• Neural networks-based backward scheme for fully nonlinear PDEs
• Autoencoder asset pricing models
• An Introduction to Deep Reinforcement Learning
• Optimal execution with non-linear transient market impact
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

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