3 papers
cs.LG2024
Robot See, Robot Do: Imitation Reward for Noisy Financial Environments
Sven Goluža, Tomislav KovaÄeviÄ, Stjepan BeguÅ¡iÄ +1
The sequential nature of decision-making in financial asset trading aligns naturally with the reinforcement learning (RL) framework, making RL a common approach in this domain. How…
q-fin.ST2024
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
Lucija ŽigniÄ, Stjepan BeguÅ¡iÄ, Zvonko KostanjÄar
Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grow…
q-fin.TR2024
Deep reinforcement learning with positional context for intraday trading
Sven Goluža, Tomislav KovaÄeviÄ, Tessa Bauman +1
Deep reinforcement learning (DRL) is a well-suited approach to financial decision-making, where an agent makes decisions based on its trading strategy developed from market observa…