Related papers: Limit Order Book Simulation and Trade Evaluation w…

Model-based algorithms, which learn a dynamics model from logged experience and perform some sort of pessimistic planning under the learned model, have emerged as a promising paradigm for offline reinforcement learning (offline RL).…

k is the most important parameter in a text categorization system based on k-Nearest Neighbor algorithm (kNN).In the classification process, k nearest documents to the test one in the training set are determined firstly. Then, the…

Retrieval-augmented language models (LMs) use non-parametric memory to substantially outperform their non-retrieval counterparts on perplexity-based evaluations, but it is an open question whether they achieve similar gains in few- and…

This paper investigates the problem of certifying optimality for sparse generalized linear models (GLMs), where sparsity is enforced through an $\ell_0$ cardinality constraint. While branch-and-bound (BnB) frameworks can certify optimality…

We investigate the problem of best-policy identification in discounted Markov Decision Processes (MDPs) when the learner has access to a generative model. The objective is to devise a learning algorithm returning the best policy as early as…

We study the fundamental problem of offline assortment optimization under the Multinomial Logit (MNL) model, where sellers must determine the optimal subset of the products to offer based solely on historical customer choice data. While…

The k-nearest neighbors (k-NN) algorithm is a popular and effective classification algorithm. Due to its large storage and computational requirements, it is suitable for cloud outsourcing. However, k-NN is often run on sensitive data such…

We study reinforcement learning with linear function approximation and adversarially changing cost functions, a setup that has mostly been considered under simplifying assumptions such as full information feedback or exploratory…

In this work, we study optimization methods that leverage the linear minimization oracle (LMO) over a norm-ball. We propose a new stochastic family of algorithms that uses the LMO to adapt to the geometry of the problem and, perhaps…

Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the…

The k-Nearest Neighbor (k-NN) classification algorithm is one of the most widely-used lazy classifiers because of its simplicity and ease of implementation. It is considered to be an effective classifier and has many applications. However,…

In real-world decision making tasks, it is critical for data-driven reinforcement learning methods to be both stable and sample efficient. On-policy methods typically generate reliable policy improvement throughout training, while…

We consider learning in an adversarial Markov Decision Process (MDP) where the loss functions can change arbitrarily over $K$ episodes and the state space can be arbitrarily large. We assume that the Q-function of any policy is linear in…

Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…

Most of the existing works for reinforcement learning (RL) with general function approximation (FA) focus on understanding the statistical complexity or regret bounds. However, the computation complexity of such approaches is far from being…

Reinforcement learning has been explored for many problems, from video games with deterministic environments to portfolio and operations management in which scenarios are stochastic; however, there have been few attempts to test these…

In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…

We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementation shortfall and market impact over an extended period of…

We propose the k-Shortest-Path (k-SP) constraint: a novel constraint on the agent's trajectory that improves the sample efficiency in sparse-reward MDPs. We show that any optimal policy necessarily satisfies the k-SP constraint. Notably,…

We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the…