Model-Free Market Risk Hedging Using Crowding Networks.
Vadim ZlotnikovJiayu LiuIgor HalperinFei HeLisa HuangPublished in: CoRR (2023)
Keyphrases
- model free
- risk sensitive
- black scholes
- option pricing
- reinforcement learning
- financial markets
- risk management
- function approximation
- reinforcement learning algorithms
- temporal difference
- convertible bonds
- policy iteration
- decision making
- stock market
- average reward
- stock price
- policy evaluation
- genetic algorithm
- linear combination
- least squares
- stock exchange
- support vector
- neural network