Machine Learning has been used in the financial services industry for over 40 years, yet it is only in recent years that it has become more pervasive across investment management and trading. Machine learning provides a more general framework for financial modeling than its linear parametric...

We present a reinforcement learning approach to goal based wealth management problems such as optimization of retirement plans or target dated funds. In such problems, an investor seeks to achieve a financial goal by making periodic investments in the portfolio while being employed, and...

We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...