Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting.
Eric BenhamouDavid SaltielSerge TabachnikSui Kai WongFrançois ChareyronPublished in: CoRR (2021)
Keyphrases
- model free
- adaptive learning
- financial markets
- reinforcement learning
- stock price
- reinforcement learning algorithms
- stock market
- function approximation
- temporal difference
- rl algorithms
- technical indicators
- risk management
- exchange rate
- policy iteration
- state space
- stock returns
- learning algorithm
- machine learning
- stock index futures
- student model
- concept maps
- policy evaluation
- investment strategies
- learning environment
- e learning
- optimal control
- markov decision processes
- mobile devices
- data mining