Lecture Notes Learning to Trade III: Deep Hedging with Impact, Deep Bellman Hedging, Open Research Questions
45 Pages Posted: 18 Jul 2022 Last revised: 2 Jan 2023
Date Written: June 30, 2022
This lecture series discusses the Learning to Trade program for the use of data and machine learning for trading. This final session focuses on two advanced topics which are under active research: the use of Deep Hedging methods under market impact for intraday delta-hedging, and the formulation of Deep Hedging as Bellman problem. We also comment on a number of open questions in the wider research area.
Keywords: Deep Hedging, Deep Bellman Hedging, Bellman Equation, Dynamic Programming, Market Impact, Almgren-Chriss
Suggested Citation: Suggested Citation