Sui Kai Wong

Lombard Odier Investment Management

3901, Two Exchange Square

8 Connaught Place

Hong Kong

Hong Kong

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Scholarly Papers (1)

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Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free RL for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021 Last Revised: 14 Jun 2021
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
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Abstract:

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deep reinforcement learning, volatility targetting, model based RL, model free RL