Deep reinforcement learning for market making in corporate bonds : beating the curse of dimensionality
Year of publication: |
2019
|
---|---|
Authors: | Guéant, Olivier ; Manziuk, Iuliia |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 26.2019, 5, p. 387-452
|
Subject: | Market making | stochastic optimal control | reinforcement learning | actor-critic algorithms | Lernprozess | Learning process | Unternehmensanleihe | Corporate bond | Kontrolltheorie | Control theory | Lernen | Learning |
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