Federico Giorgi

University of Rome Tor Vergata - Department of Economics and Finance

Via columbia 2

Rome, Rome 00123

Italy

  • University of Rome Tor Vergata - Department of Economics and Finance

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A Reinforcement Learning Algorithm for Trading Commodities

CEIS Working Paper No. 552
Number of pages: 25 Posted: 21 Feb 2023 Last Revised: 27 Nov 2023
Federico Giorgi, Stefano Herzel and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Rome Tor Vergata - Faculty of Economics and University of Rome Tor Vergata - Department of Economics and Finance
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Abstract:

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Portfolio Optimization, Reinforcement Learning, SARSA, Commodities, Threshold Models