The purpose of this paper is to solve a stochastic control problem consisting of optimizing the management of a trading system. Two model free machine learning algorithms based on Reinforcement Learning method are compared: the Q-Learning and the SARSA ones. Both these models optimize their...

Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Lévy stable (PLs) distributed, whereas others have...

Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international mean-variance portfolios and also, they are useful in...

Cover -- Occhiello -- Dedica -- Indice -- Prefazione -- Capitolo 1 - Rendite -- Capitolo 2 - Ammortamenti -- Capitolo 3 - Prestiti obbligazionari -- Capitolo 4 - Scelte fra progetti alternativi certi -- Bibliografia -- Finito di stampare

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

1 Albano G. et al., A comparison among alternative parameters estimators in the Vasicek process: a small sample analysis -- 2 Amendola A. et al., On the use of mixed sampling in modelling realized volatility: The MEM–MIDAS -- 3 Amerise I. L. and Tarsitano A., Simultaneous prediction intervals...