Related papers: Reinforcement Learning for Option Hedging: Static …
Offline reinforcement learning (RL) has emerged as a prevalent and effective methodology for real-world recommender systems, enabling learning policies from historical data and capturing user preferences. In offline RL, reward shaping…
We consider two data driven approaches, Reinforcement Learning (RL) and Deep Trajectory-based Stochastic Optimal Control (DTSOC) for hedging a European call option without and with transaction cost according to a quadratic hedging P&L…
The application of reinforcement learning (RL) to dynamic resource allocation in optical networks has been the focus of intense research activity in recent years, with almost 100 peer-reviewed papers. We present a review of progress in the…
Temporal abstraction in reinforcement learning (RL), offers the promise of improving generalization and knowledge transfer in complex environments, by propagating information more efficiently over time. Although option learning was…
This paper explores the application of a reinforcement learning (RL) framework using the Q-Learning algorithm to enhance dynamic pricing strategies in the retail sector. Unlike traditional pricing methods, which often rely on static demand…
Reinforcement learning (RL) has shown significant promise for sequential portfolio optimization tasks, such as stock trading, where the objective is to maximize cumulative returns while minimizing risks using historical data. However,…
Reinforcement learning (RL) is an innovative approach to financial decision making, offering specialized solutions to complex investment problems where traditional methods fail. This review analyzes 167 articles from 2017--2025, focusing on…
Optimal execution is a sequential decision-making problem for cost-saving in algorithmic trading. Studies have found that reinforcement learning (RL) can help decide the order-splitting sizes. However, a problem remains unsolved: how to…
We introduce the use of reinforcement learning for indirect mechanisms, working with the existing class of sequential price mechanisms, which generalizes both serial dictatorship and posted price mechanisms and essentially characterizes all…
Traditional portfolio management methods can incorporate specific investor preferences but rely on accurate forecasts of asset returns and covariances. Reinforcement learning (RL) methods do not rely on these explicit forecasts and are…
Reinforcement learning (RL) in low-data and risk-sensitive domains requires performant and flexible deployment policies that can readily incorporate constraints during deployment. One such class of policies are the semi-parametric H-step…
We propose a new reinforcement learning algorithm derived from a regularized linear-programming formulation of optimal control in MDPs. The method is closely related to the classic Relative Entropy Policy Search (REPS) algorithm of Peters…
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…
This dissertation investigates how reinforcement learning (RL) methods can be designed to be safe, sample-efficient, and robust. Framed through the unifying perspective of contextual-bandit RL, the work addresses two major application…
This paper explores the application of deep Q-learning to hedging at-the-money options on the S\&P~500 index. We develop an agent based on the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm, trained to simulate hedging…
Scaling reinforcement learning (RL) to recommender systems (RS) is promising since maximizing the expected cumulative rewards for RL agents meets the objective of RS, i.e., improving customers' long-term satisfaction. A key approach to this…
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products. We pursue the RL avenue in order to learn the optimal action-value function of the underlying stopping problem. In addition to…
Offline reinforcement learning (RL) aims to find optimal policies in dynamic environments in order to maximize the expected total rewards by leveraging pre-collected data. Learning from heterogeneous data is one of the fundamental…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
Much research has been done to analyze the stock market. After all, if one can determine a pattern in the chaotic frenzy of transactions, then they could make a hefty profit from capitalizing on these insights. As such, the goal of our…