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pro vyhledávání: '"Bakshaev, Alexey"'
Autor:
Bakshaev, Alexey
The paper explores the application of a continuous action space soft actor-critic (SAC) reinforcement learning model to the area of automated market-making. The reinforcement learning agent receives a simulated flow of client trades, thus accruing a
Externí odkaz:
http://arxiv.org/abs/2008.12275
Autor:
Bakshaev, Alexey
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the trader's v
Externí odkaz:
http://arxiv.org/abs/1602.06189