Search Results - subject:"REINFORCEMENT LEARNING"

Reinforcement learning and portfolio allocation : challenging traditional allocation methods?

Lavko, Matus Jan; Klein, Tony; Walther, Thomas - 2023

We test the out-of-sample trading performance of model-free reinforcement learning (RL) agents and compare them with …

Persistent link: https://www.econbiz.de/10014326023

Stock price formation : precepts from a multi-agent reinforcement learning model

Lussange, Johann; Vrizzi, Stefano; Bourgeois-Gironde, Sacha - In: Computational economics 61 (2023) 4, pp. 1523-1544

Persistent link: https://www.econbiz.de/10014327067

Reinforcement learning in economics and finance

Charpentier, Arthur; Élie, Romuald; Remlinger, Carl - In: Computational economics 62 (2023) 1, pp. 425-462

Persistent link: https://www.econbiz.de/10014327551

Two-sided deep reinforcement learning for dynamic mobility-on-demand management with mixed autonomy

Xie, Jiaohong; Liu, Yang; Chen, Nan - In: Transportation science 57 (2023) 4, pp. 1019-1046

Persistent link: https://www.econbiz.de/10014329977

Reinforcement learning and collusion

Possnig, Clemens - 2023

Persistent link: https://www.econbiz.de/10014330058

A reinforcement learning algorithm for trading commodities

Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 2023

Persistent link: https://www.econbiz.de/10014249143

Premium control with reinforcement learning

Palmborg, Lina; Lindskog, Filip - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 233-257

Persistent link: https://www.econbiz.de/10014320216

A probabilistic solution to high-dimensional continuous-time macro and finance models

Ji, Huang - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014331249

Robust risk-aware option hedging

Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174

Persistent link: https://www.econbiz.de/10015051231

Robust data sampling in machine learning : a game-theoretic framework for training and validation data selection

Mo, Zhaobin; Di, Xuan; Shi, Rongye - In: Games 14 (2023) 1, pp. 1-13

error. Robust sampling is achieved at the game equilibrium. To accelerate the searching process, we adopt reinforcement … learning aided Monte Carlo trees search (MCTS). We apply our method to a car-following modeling problem, a complicated scenario …

Persistent link: https://www.econbiz.de/10014420298