2 papers
q-fin.TR2023
Optimal Execution Using Reinforcement Learning
Cong Zheng, Jiafa He, Can Yang
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrenc…
math.OC2023
Option Dynamic Hedging Using Reinforcement Learning
Cong Zheng, Jiafa He, Can Yang
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In co…