27 citations · 46 across the 9 of their papers we have counts for
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q-fin.ST2020★ 27 cited
Structural clustering of volatility regimes for dynamic trading strategies
Arjun Prakash, Nick James, Max Menzies +1
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use chan…
cs.LG2020★ 5 cited
Reinforcement Learning with Probabilistically Complete Exploration
Philippe Morere, Gilad Francis, Tom Blau +1
Balancing exploration and exploitation remains a key challenge in reinforcement learning (RL). State-of-the-art RL algorithms suffer from high sample complexity, particularly in th…