Yun Shen

Technische Universität Berlin (TU Berlin)

Marchstr. 23, 5050

Berlin, 10587

Germany

  • Technische Universität Berlin (TU Berlin)

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Risk-Averse Reinforcement Learning for Algorithmic Trading

Number of pages: 8 Posted: 02 Dec 2013 Last Revised: 25 Feb 2014
Yun Shen, Ruihong Huang, Chang Yan and Klaus Obermayer
Technische Universität Berlin (TU Berlin), Humboldt University of Berlin, Humboldt University of Berlin and Technische Universität Berlin (TU Berlin)
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Abstract:

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High-Frequency Trading, Limit Order Book, Optimal Execution, Machine Learning