Search Results - subject:"Reinforcement Learning"

Hedging using reinforcement learning : contextual k-armed bandit versus Q-learning

Cannelli, Loris; Nuti, Giuseppe; Sala, Marzio; Szehr, Oleg - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-22

The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous replication, such as in the model of Black, Scholes and Merton (BSM), is not only unrealistic but is also...

Persistent link: https://www.econbiz.de/10014513986

Deep reinforcement learning for stochastic last-mile delivery with crowdshipping

Silva, Marco Aurelio Costa da; Pedroso, João Pedro; … - In: EURO journal on transportation and logistics 12 (2023), pp. 1-13

, arrive randomly throughout the day, within fixed time windows. We present a novel deep reinforcement learning (DRL) approach …

Persistent link: https://www.econbiz.de/10014518071

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