Chang Yan

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

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Scholarly Papers (1)

1.

Risk-Averse Reinforcement Learning for Algorithmic Trading

Number of pages: 8 Posted: 02 Dec 2013 Last Revised: 25 Feb 2014
Technische Universit├Ąt Berlin (TU Berlin), Humboldt University of Berlin, Humboldt University of Berlin and Technische Universit├Ąt Berlin (TU Berlin)
Downloads 472 (59,193)

Abstract:

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