Reinforcement Learning for automatic financial trading: Introduction and some applications
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- Marco Corazza & Andrea Sangalli, 2015. "Q-Learning and SARSA: a comparison between two intelligent stochastic control approaches for financial trading," Working Papers 2015:15, Department of Economics, University of Venice "Ca' Foscari", revised 2015.
- Petrus Strydom, 2017. "Funding optimization for a bank integrating credit and liquidity risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-1.
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KeywordsFinancial Trading System; Reinforcement Learning; Stochastic control; Q-learning algorithm; Kernel-based Reinforcement Learning.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
- NEP-CMP-2013-01-07 (Computational Economics)
- NEP-ORE-2013-01-07 (Operations Research)
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