2 papers
cs.LG2019
All-Action Policy Gradient Methods: A Numerical Integration Approach
Benjamin Petit, Loren Amdahl-Culleton, Yao Liu +2
While often stated as an instance of the likelihood ratio trick [Rubinstein, 1989], the original policy gradient theorem [Sutton, 1999] involves an integral over the action space.…
q-fin.PM2019
Optimal multi-asset trading with linear costs: a mean-field approach
Matt Emschwiller, Benjamin Petit, Jean-Philippe Bouchaud
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are . We present…