Lecture Notes Learning to Trade II: Deep Hedging

53 Pages Posted: 18 Jul 2022 Last revised: 8 Aug 2022

See all articles by Hans Buehler

Hans Buehler

JP Morgan

Blanka Horvath

ETH Zürich - Department of Mathematics

Date Written: June 30, 2022

Abstract

his lecture series discusses the Learning to Trade program for the use of data and machine learning for trading. This second session is a deep dive into the Deep Hedging reinforcement learning approach for hedging a portfolio of financial instruments with derivatives. The lecture gives a full overview over the state of the published literature, including on "statistical arbitrage" and methods handling it.

Keywords: Deep Hedging, AI Trader, Statistical Arbitrage, Reinforcement Learning

Suggested Citation

Buehler, Hans and Horvath, Blanka, Lecture Notes Learning to Trade II: Deep Hedging (June 30, 2022). Available at SSRN: https://ssrn.com/abstract=4151041 or http://dx.doi.org/10.2139/ssrn.4151041

Hans Buehler (Contact Author)

JP Morgan ( email )

4/F, 25 Bank Street
London, E14 5JP
United Kingdom

Blanka Horvath

ETH Zürich - Department of Mathematics ( email )

R¨amistrasse 101
Raemistr. 101
Z¨urich, 8092
Switzerland

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