Risk-averse reinforcement learning for algorithmic trading

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) ◽

10.1109/cifer.2014.6924100 ◽

2014 ◽

Author(s):

Yun Shen ◽

Ruihong Huang ◽

Chang Yan ◽

Klaus Obermayer

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading ◽

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Risk-Averse Reinforcement Learning for Algorithmic Trading

SSRN Electronic Journal ◽

10.2139/ssrn.2361899 ◽

2013 ◽

Author(s):

Yun Shen ◽

Ruihong Huang ◽

Klaus Obermayer

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading ◽

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Deep Reinforcement Learning for Algorithmic Trading

SSRN Electronic Journal ◽

10.2139/ssrn.3812473 ◽

2021 ◽

Author(s):

Álvaro Cartea ◽

Sebastian Jaimungal ◽

Leandro Sánchez-Betancourt

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading

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Variance-Penalized Reinforcement Learning for Risk-Averse Asset Allocation

Intelligent Data Engineering and Automated Learning — IDEAL 2000. Data Mining, Financial Engineering, and Intelligent Agents - Lecture Notes in Computer Science ◽

10.1007/3-540-44491-2_34 ◽

2000 ◽

pp. 244-249 ◽

Author(s):

Makoto Sato ◽

Shigenobu Kobayashi

Keyword(s):

Reinforcement Learning ◽

Asset Allocation ◽

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Deep Robust Reinforcement Learning for Practical Algorithmic Trading

IEEE Access ◽

10.1109/access.2019.2932789 ◽

2019 ◽

Vol 7 ◽

pp. 108014-108022 ◽

Author(s):

Yang Li ◽

Wanshan Zheng ◽

Zibin Zheng

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading

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Option hedging with risk averse reinforcement learning

10.1145/3383455.3422532 ◽

2020 ◽

Author(s):

Edoardo Vittori ◽

Michele Trapletti ◽

Marcello Restelli

Keyword(s):

Reinforcement Learning ◽

Risk Averse ◽

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A Novel Algorithmic Trading Approach Based on Reinforcement Learning

2019 11th International Conference on Measuring Technology and Mechatronics Automation (ICMTMA) ◽

10.1109/icmtma.2019.00093 ◽

2019 ◽

Author(s):

Li Xucheng ◽

Peng Zhihao

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading

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Beyond exponential utility functions: A variance-adjusted approach for risk-averse reinforcement learning

2014 IEEE Symposium on Adaptive Dynamic Programming and Reinforcement Learning (ADPRL) ◽

10.1109/adprl.2014.7010645 ◽

2014 ◽

Author(s):

Abhijit A. Gosavi ◽

Sajal K. Das ◽

Susan L. Murray

Keyword(s):

Reinforcement Learning ◽

Utility Functions ◽

Exponential Utility ◽

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An application of deep reinforcement learning to algorithmic trading

Expert Systems with Applications ◽

10.1016/j.eswa.2021.114632 ◽

2021 ◽

Vol 173 ◽

pp. 114632

Author(s):

Thibaut Théate ◽

Damien Ernst

Keyword(s):

Reinforcement Learning ◽

Algorithmic Trading

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Risk-averse Distributional Reinforcement Learning: A CVaR Optimization Approach

Proceedings of the 11th International Joint Conference on Computational Intelligence ◽

10.5220/0008175604120423 ◽

2019 ◽

Author(s):

Silvestr Stanko ◽

Karel Macek

Keyword(s):

Reinforcement Learning ◽

Optimization Approach ◽

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Practical Algorithmic Trading Using State Representation Learning and Imitative Reinforcement Learning

IEEE Access ◽

10.1109/access.2021.3127209 ◽

2021 ◽

pp. 1-1

Author(s):

Deog-Yeong Park ◽

Ki-Hoon Lee

Keyword(s):

Reinforcement Learning ◽

Representation Learning ◽

Algorithmic Trading ◽

State Representation

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