3 papers
q-fin.MF2020
Deep Deterministic Portfolio Optimization
Ayman Chaouki, Stephen Hardiman, Christian Schmidt +2
Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually…
q-fin.MF2020
Equations and Shape of the Optimal Band Strategy
Joachim de Lataillade, Ayman Chaouki
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band…
cs.LO2007
Second-Order Type Isomorphisms Through Game Semantics
Joachim De Lataillade
The characterization of second-order type isomorphisms is a purely syntactical problem that we propose to study under the enlightenment of game semantics. We study this question in…