Related papers: Extending Deep Learning Models for Limit Order Boo…

Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the…

We investigate applications of deep neural networks to a point process having an intensity with mixing covariates processes as input. Our generic model includes Cox-type models and marked point processes as well as multivariate point…

Deep Reinforcement Learning (RL) has considerably advanced over the past decade. At the same time, state-of-the-art RL algorithms require a large computational budget in terms of training time to converge. Recent work has started to…

We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…

The rapid advancement of quantum computing (QC) and machine learning (ML) has given rise to the burgeoning field of quantum machine learning (QML), aiming to capitalize on the strengths of quantum computing to propel ML forward. Despite its…

We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy…

Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric…

Accurate stock market predictions following earnings reports are crucial for investors. Traditional methods, particularly classical machine learning models, struggle with these predictions because they cannot effectively process and…

The use of target networks is a common practice in deep reinforcement learning for stabilizing the training; however, theoretical understanding of this technique is still limited. In this paper, we study the so-called periodic Q-learning…

This paper proposes a new objective function and quantile regression (QR) algorithm for load forecasting (LF). In LF, the positive forecasting errors often have different economic impact from the negative forecasting errors. Considering…

The existing literature provides evidence that limit order book data can be used to predict short-term price movements in stock markets. This paper proposes a new neural network architecture for predicting return jump arrivals in equity…

This paper introduces the QDQN-DPER framework to enhance the efficiency of quantum reinforcement learning (QRL) in solving sequential decision tasks. The framework incorporates prioritized experience replay and asynchronous training into…

Deep Q-learning is investigated as an end-to-end solution to estimate the optimal strategies for acting on time series input. Experiments are conducted on two idealized trading games. 1) Univariate: the only input is a wave-like price time…

Reinforcement learning (RL) provides a principled framework for decision-making in partially observable environments, which can be modeled as Markov decision processes and compactly represented through dynamic decision Bayesian networks.…

Typical machine learning regression applications aim to report the mean or the median of the predictive probability distribution, via training with a squared or an absolute error scoring function. The importance of issuing predictions of…

Reinforcement learning has been applied in operation research and has shown promise in solving large combinatorial optimization problems. However, existing works focus on developing neural network architectures for certain problems. These…

The ongoing progress in quantum technologies has fueled a sustained exploration of their potential applications across various domains. One particularly promising field is quantitative finance, where a central challenge is the pricing of…

The current boom of learned query optimizers (LQO) can be explained not only by the general continuous improvement of deep learning (DL) methods but also by the straightforward formulation of a query optimization problem (QOP) as a machine…

Risk assessment for extreme events requires accurate estimation of high quantiles that go beyond the range of historical observations. When the risk depends on the values of observed predictors, regression techniques are used to interpolate…

Quantum reservoir computing (QRC) is an emerging paradigm for harnessing the natural dynamics of quantum systems as computational resources that can be used for temporal machine learning tasks. In the current setup, QRC is difficult to deal…