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

See all articles by Hans Buehler

Hans Buehler

XTX Markets

Blanka Horvath

Mathematical Institute, University of Oxford and Oxford Man Institute; Oxford University; The Alan Turing Institute

Date Written: June 30, 2022

Abstract

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

Buehler, Hans and Horvath, Blanka, Lecture Notes Learning to Trade III: Deep Hedging with Impact, Deep Bellman Hedging, Open Research Questions (June 30, 2022). Available at SSRN: https://ssrn.com/abstract=4151043 or http://dx.doi.org/10.2139/ssrn.4151043

Hans Buehler (Contact Author)

XTX Markets ( email )

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HOME PAGE: http://xtxmarkets.com

Blanka Horvath

Mathematical Institute, University of Oxford and Oxford Man Institute ( email )

Andrew Wiles Building
Woodstock Road
Oxford, OX2 6GG
United Kingdom

Oxford University ( email )

The Alan Turing Institute ( email )

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