Related papers: Optimal trading using signals
This paper studies debiased machine learning when nuisance parameters appear in indicator functions. An important example is maximized average welfare gain under optimal treatment assignment rules. For asymptotically valid inference for a…
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…
Addressing uncertainty is critical for autonomous systems to robustly adapt to the real world. We formulate the problem of model uncertainty as a continuous Bayes-Adaptive Markov Decision Process (BAMDP), where an agent maintains a…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…
In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
We study, to the best of our knowledge, the first Bayesian algorithm for unimodal Multi-Armed Bandit (MAB) problems with graph structure. In this setting, each arm corresponds to a node of a graph and each edge provides a relationship,…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using matched asymptotic expansion techniques, we find that the trading…
This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of…
We study a signaling game between two firms competing to have their product chosen by a principal. The products have qualities drawn i.i.d. from a common prior. The principal aims to choose the better product, but the quality of a product…
We propose a neural network approach to model general interaction dynamics and an adjoint based stochastic gradient descent algorithm to calibrate its parameters. The parameter calibration problem is considered as optimal control problem…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal point of this paper is to address the…
A novel algorithm for actively trading stocks is presented. While traditional expert advice and "universal" algorithms (as well as standard technical trading heuristics) attempt to predict winners or trends, our approach relies on…