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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…