Author: Matthias HegerPublisher:
ISBN:
Category :
Languages : en
Pages : 344
Book Description
Risk-averse Reinforcement Learning
Author: Matthias HegerRisk-Averse Reinforcement Learning for Algorithmic Trading
Author: Yun ShenPublisher:
ISBN:
Category :
Languages : en
Pages : 8
Book Description
We propose a general framework of risk-averse reinforcement learning for algorithmic trading. Our approach is tested in an experiment based on 1.5 years of millisecond time-scale limit order data from NASDAQ, which contain the data around the 2010 flash crash. The results show that our algorithm outperforms the risk-neutral reinforcement learning algorithm by 1) keeping the trading cost at a substantially low level at the spot when the flash crash happened, and 2) significantly reducing the risk over the whole test period.
Risk-averse Deep Distributional Reinforcement Learning for Option Hedging Under Market Frictions
Author: 林鼎鈞Foundations of Reinforcement Learning with Applications in Finance
Author: Ashwin RaoPublisher: CRC Press
ISBN: 1000801101
Category : Mathematics
Languages : en
Pages : 658
Book Description
Foundations of Reinforcement Learning with Applications in Finance aims to demystify Reinforcement Learning, and to make it a practically useful tool for those studying and working in applied areas — especially finance. Reinforcement Learning is emerging as a powerful technique for solving a variety of complex problems across industries that involve Sequential Optimal Decisioning under Uncertainty. Its penetration in high-profile problems like self-driving cars, robotics, and strategy games points to a future where Reinforcement Learning algorithms will have decisioning abilities far superior to humans. But when it comes getting educated in this area, there seems to be a reluctance to jump right in, because Reinforcement Learning appears to have acquired a reputation for being mysterious and technically challenging. This book strives to impart a lucid and insightful understanding of the topic by emphasizing the foundational mathematics and implementing models and algorithms in well-designed Python code, along with robust coverage of several financial trading problems that can be solved with Reinforcement Learning. This book has been created after years of iterative experimentation on the pedagogy of these topics while being taught to university students as well as industry practitioners. Features Focus on the foundational theory underpinning Reinforcement Learning and software design of the corresponding models and algorithms Suitable as a primary text for courses in Reinforcement Learning, but also as supplementary reading for applied/financial mathematics, programming, and other related courses Suitable for a professional audience of quantitative analysts or data scientists Blends theory/mathematics, programming/algorithms and real-world financial nuances while always striving to maintain simplicity and to build intuitive understanding To access the code base for this book, please go to: https://github.com/TikhonJelvis/RL-book
Handbook of Reinforcement Learning and Control
Author: Kyriakos G. VamvoudakisPublisher: Springer Nature
ISBN: 3030609901
Category : Technology & Engineering
Languages : en
Pages : 833
Book Description
This handbook presents state-of-the-art research in reinforcement learning, focusing on its applications in the control and game theory of dynamic systems and future directions for related research and technology. The contributions gathered in this book deal with challenges faced when using learning and adaptation methods to solve academic and industrial problems, such as optimization in dynamic environments with single and multiple agents, convergence and performance analysis, and online implementation. They explore means by which these difficulties can be solved, and cover a wide range of related topics including: deep learning; artificial intelligence; applications of game theory; mixed modality learning; and multi-agent reinforcement learning. Practicing engineers and scholars in the field of machine learning, game theory, and autonomous control will find the Handbook of Reinforcement Learning and Control to be thought-provoking, instructive and informative.
Foundations of Reinforcement Learning with Applications in Finance
Author: Ashwin RaoPublisher: CRC Press
ISBN: 1000801055
Category : Mathematics
Languages : en
Pages : 522
Book Description
Foundations of Reinforcement Learning with Applications in Finance aims to demystify Reinforcement Learning, and to make it a practically useful tool for those studying and working in applied areas — especially finance. Reinforcement Learning is emerging as a powerful technique for solving a variety of complex problems across industries that involve Sequential Optimal Decisioning under Uncertainty. Its penetration in high-profile problems like self-driving cars, robotics, and strategy games points to a future where Reinforcement Learning algorithms will have decisioning abilities far superior to humans. But when it comes getting educated in this area, there seems to be a reluctance to jump right in, because Reinforcement Learning appears to have acquired a reputation for being mysterious and technically challenging. This book strives to impart a lucid and insightful understanding of the topic by emphasizing the foundational mathematics and implementing models and algorithms in well-designed Python code, along with robust coverage of several financial trading problems that can be solved with Reinforcement Learning. This book has been created after years of iterative experimentation on the pedagogy of these topics while being taught to university students as well as industry practitioners. Features Focus on the foundational theory underpinning Reinforcement Learning and software design of the corresponding models and algorithms Suitable as a primary text for courses in Reinforcement Learning, but also as supplementary reading for applied/financial mathematics, programming, and other related courses Suitable for a professional audience of quantitative analysts or data scientists Blends theory/mathematics, programming/algorithms and real-world financial nuances while always striving to maintain simplicity and to build intuitive understanding To access the code base for this book, please go to: https://github.com/TikhonJelvis/RL-book.
Risk-Sensitive Reinforcement Learning Via Policy Gradient Search
Author: Prashanth L. A.Publisher:
ISBN: 9781638280262
Category :
Languages : en
Pages : 170
Book Description
Reinforcement learning (RL) is one of the foundational pillars of artificial intelligence and machine learning. An important consideration in any optimization or control problem is the notion of risk, but its incorporation into RL has been a fairly recent development. This monograph surveys research on risk-sensitive RL that uses policy gradient search.The authors survey some of the recent work in this area specifically where policy gradient search is the solution approach. In the first risk-sensitive RL setting, they cover popular risk measures based on variance, conditional value at-risk and chance constraints, and present a template for policy gradient-based risk-sensitive RL algorithms using a Lagrangian formulation. For the setting where risk is incorporated directly into the objective function, they consider an exponential utility formulation, cumulative prospect theory, and coherent risk measures.Written for novices and experts alike the authors have made the text completely self-contained but also organized in a manner that allows expert readers to skip background chapters. This is a complete guide for students and researchers working on this aspect of machine learning.
Learning to Deal with Risk
Author: Albert BurgosPublisher:
ISBN:
Category : Risk-return relationships
Languages : en
Pages : 86
Book Description
Proceedings of International Joint Conference on Computational Intelligence
Author: Mohammad Shorif UddinPublisher: Springer Nature
ISBN: 9811536074
Category : Technology & Engineering
Languages : en
Pages : 642
Book Description
This book gathers outstanding research papers presented at the International Joint Conference on Computational Intelligence (IJCCI 2019), held at the University of Liberal Arts Bangladesh (ULAB), Dhaka, on 25–26 October 2019 and jointly organized by the University of Liberal Arts Bangladesh (ULAB), Bangladesh; Jahangirnagar University (JU), Bangladesh; and South Asian University (SAU), India. These proceedings present novel contributions in the areas of computational intelligence, and offer valuable reference material for advanced research. The topics covered include collective intelligence, soft computing, optimization, cloud computing, machine learning, intelligent software, robotics, data science, data security, big data analytics, and signal and natural language processing.
Distributional Reinforcement Learning
Author: Marc G. BellemarePublisher: MIT Press
ISBN: 0262048019
Category : Computers
Languages : en
Pages : 385
Book Description
The first comprehensive guide to distributional reinforcement learning, providing a new mathematical formalism for thinking about decisions from a probabilistic perspective. Distributional reinforcement learning is a new mathematical formalism for thinking about decisions. Going beyond the common approach to reinforcement learning and expected values, it focuses on the total reward or return obtained as a consequence of an agent's choices—specifically, how this return behaves from a probabilistic perspective. In this first comprehensive guide to distributional reinforcement learning, Marc G. Bellemare, Will Dabney, and Mark Rowland, who spearheaded development of the field, present its key concepts and review some of its many applications. They demonstrate its power to account for many complex, interesting phenomena that arise from interactions with one's environment. The authors present core ideas from classical reinforcement learning to contextualize distributional topics and include mathematical proofs pertaining to major results discussed in the text. They guide the reader through a series of algorithmic and mathematical developments that, in turn, characterize, compute, estimate, and make decisions on the basis of the random return. Practitioners in disciplines as diverse as finance (risk management), computational neuroscience, computational psychiatry, psychology, macroeconomics, and robotics are already using distributional reinforcement learning, paving the way for its expanding applications in mathematical finance, engineering, and the life sciences. More than a mathematical approach, distributional reinforcement learning represents a new perspective on how intelligent agents make predictions and decisions.