Foreign exchange trading: a risk-averse batch reinforcement learning approach.
Lorenzo BisiPierre LiotetLuca SabbioniGianmarco RehoNico MontaliMarcello RestelliCristiana CornoPublished in: ICAIF (2020)
Keyphrases
- foreign exchange
- risk averse
- reinforcement learning
- exchange rate
- risk neutral
- risk aversion
- utility function
- decision makers
- stochastic programming
- early warning
- stock market
- state space
- portfolio management
- function approximation
- linear programming
- dynamic programming
- model free
- financial data
- markov decision processes
- optimal policy
- machine learning
- expected utility
- stock price
- inventory level
- optimal control
- portfolio optimization
- multistage
- objective function