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We calculate explicitly the optimal strategy for an investor with exponential utility function when the stock price follows an autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends…
Portfolio optimization is a critical area in finance, aiming to maximize returns while minimizing risk. Metaheuristic algorithms were shown to solve complex optimization problems efficiently, with Genetic Algorithms and Particle Swarm…
High-frequency trading (HFT) uses computer algorithms to make trading decisions in short time scales (e.g., second-level), which is widely used in the Cryptocurrency (Crypto) market (e.g., Bitcoin). Reinforcement learning (RL) in financial…
Reinforcement learning (RL) is gaining attention by more and more researchers in quantitative finance as the agent-environment interaction framework is aligned with decision making process in many business problems. Most of the current…
Existing studies indicate that momentum ideas in conventional optimization can be used to improve the performance of Q-learning algorithms. However, the finite-sample analysis for momentum-based Q-learning algorithms is only available for…
This paper introduces a novel method for optimizing learning rates in machine learning. A previously unrecognized proportionality between learning rates and dataset sizes is discovered, providing valuable insights into how dataset scale…
In this paper, we document a novel machine learning based bottom-up approach for static and dynamic portfolio optimization on, potentially, a large number of assets. The methodology applies to general constrained optimization problems and…
Stochastic resetting, where a dynamical process is intermittently returned to a fixed reference state, has emerged as a powerful mechanism for optimizing first-passage properties. Existing theory largely treats static, non-learning…
This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
Popular Maximum Entropy Inverse Reinforcement Learning approaches require the computation of expected state visitation frequencies for the optimal policy under an estimate of the reward function. This usually requires intermediate value…
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized…
Q-learning is a regression-based approach that is widely used to formalize the development of an optimal dynamic treatment strategy. Finite dimensional working models are typically used to estimate certain nuisance parameters, and…
Machine learning has become increasingly popular in informing data-driven policy-making. Policies influence behavior in individuals or populations, and ideally, through observational signals, policy-makers learn which policies are…
Mixed integer linear programs are commonly solved by Branch and Bound algorithms. A key factor of the efficiency of the most successful commercial solvers is their fine-tuned heuristics. In this paper, we leverage patterns in real-world…
This paper intends to apply the Hidden Markov Model into stock market and and make predictions. Moreover, four different methods of improvement, which are GMM-HMM, XGB-HMM, GMM-HMM+LSTM and XGB-HMM+LSTM, will be discussed later with the…
Generating asset-specific trading signals based on the financial conditions of the assets is one of the challenging problems in automated trading. Various asset trading rules are proposed experimentally based on different technical analysis…
Commodity trading advisors (CTAs), who mainly trade commodity futures, showed good returns in the 2000s. However, since the 2010's, they have not performed very well. One possible reason of this phenomenon is the emergence of short-term…
Reinforcement learning agents for portfolio management are typically trained and deployed as static policies, with no mechanism for using price forecasts at inference time. We propose $\text{FPILOT}$ (**Fin**ancial **P**lugin…
Recently, reinforcement learning has achieved remarkable results in various domains, including robotics, games, natural language processing, and finance. In the financial domain, this approach has been applied to tasks such as portfolio…