3 citations · 4 across the 3 of their papers we have counts for
3 papers
Limit Order Book Simulation and Trade Evaluation with -Nearest-Neighbor Resampling
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we show how -nearest neighbor (-NN) resampling, an off-policy evaluation method proposed in \cite{giegrich2023k}, can be applied to simulate limit order book (…
-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we propose a novel -nearest neighbor resampling procedure for estimating the performance of a policy from historical data containing realized episodes of a decisi…
Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
Michael Giegrich, Christoph Reisinger, Yufei Zhang
We study the global linear convergence of policy gradient (PG) methods for finite-horizon continuous-time exploratory linear-quadratic control (LQC) problems. The setting includes…