2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PR2020★ 2 cited
Market-making with reinforcement-learning (SAC)
Alexey Bakshaev
The paper explores the application of a continuous action space soft actor-critic (SAC) reinforcement learning model to the area of automated market-making. The reinforcement learn…
q-fin.PR2016
Accrual valuation and mark to market adjustment
Alexey Bakshaev
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to sp…