Recent Advances in Reinforcement Learning in Finance

8 December 2021

Papers citing "Recent Advances in Reinforcement Learning in Finance"

50 / 122 papers shown

Title
On the Sample Complexity of Actor-Critic Method for Reinforcement Learning with Function Approximation Harshat Kumar Alec Koppel Alejandro Ribeiro 131 81 0 18 Oct 2019
Model-free Reinforcement Learning in Infinite-horizon Average-reward Markov Decision Processes Chen-Yu Wei Mehdi Jafarnia-Jahromi Haipeng Luo Hiteshi Sharma R. Jain 121 104 0 15 Oct 2019
Model-based Reinforcement Learning for Predictions and Control for Limit Order Books Haoran Wei Yuanbo Wang L. Mangu Keith S. Decker 33 25 0 09 Oct 2019
Sample Efficient Policy Gradient Methods with Recursive Variance Reduction Pan Xu F. Gao Quanquan Gu 57 86 0 18 Sep 2019
Adaptive Trust Region Policy Optimization: Global Convergence and Faster Rates for Regularized MDPs Lior Shani Yonathan Efroni Shie Mannor 42 175 0 06 Sep 2019
Neural Policy Gradient Methods: Global Optimality and Rates of Convergence Lingxiao Wang Qi Cai Zhuoran Yang Zhaoran Wang 66 239 0 29 Aug 2019
A Generalized Algorithm for Multi-Objective Reinforcement Learning and Policy Adaptation Runzhe Yang Xingyuan Sun Karthik Narasimhan 68 252 0 21 Aug 2019
Large scale continuous-time mean-variance portfolio allocation via reinforcement learning Haoran Wang AIFin 23 14 0 26 Jul 2019
Quant GANs: Deep Generation of Financial Time Series Magnus Wiese R. Knobloch R. Korn Peter Kretschmer GAN AI4TS AIFin 57 275 0 15 Jul 2019
An intelligent financial portfolio trading strategy using deep Q-learning Hyungju Park M. Sim D. Choi AIFin 27 88 0 08 Jul 2019
Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis Wenhang Bao Xiao-Yang Liu AIFin 41 43 0 24 Jun 2019
Global Convergence of Policy Gradient Methods to (Almost) Locally Optimal Policies Kai Zhang Alec Koppel Haoqi Zhu Tamer Basar 63 189 0 19 Jun 2019
Epistemic Risk-Sensitive Reinforcement Learning Hannes Eriksson Christos Dimitrakakis 101 29 0 14 Jun 2019
Model-Based Reinforcement Learning with a Generative Model is Minimax Optimal Alekh Agarwal Sham Kakade Lin F. Yang OffRL 66 169 0 10 Jun 2019
An Improved Convergence Analysis of Stochastic Variance-Reduced Policy Gradient Pan Xu F. Gao Quanquan Gu 48 94 0 29 May 2019
Reinforcement Learning in Feature Space: Matrix Bandit, Kernels, and Regret Bound Lin F. Yang Mengdi Wang OffRL GP 55 284 0 24 May 2019
Information-Theoretic Considerations in Batch Reinforcement Learning Jinglin Chen Nan Jiang OOD OffRL 111 373 0 01 May 2019
A Selective Overview of Deep Learning Jianqing Fan Cong Ma Yiqiao Zhong BDL VLM 127 136 0 10 Apr 2019
Model-Free Reinforcement Learning for Financial Portfolios: A Brief Survey Yoshiharu Sato OffRL 26 32 0 10 Apr 2019
Batched Multi-armed Bandits Problem Zijun Gao Yanjun Han Zhimei Ren Zhengqing Zhou 109 140 0 03 Apr 2019
Hedging the Drift: Learning to Optimize under Non-Stationarity Wang Chi Cheung D. Simchi-Levi Ruihao Zhu 57 90 0 04 Mar 2019
Finite-Sample Analysis for SARSA with Linear Function Approximation Shaofeng Zou Tengyu Xu Yingbin Liang 48 147 0 06 Feb 2019
A Theory of Regularized Markov Decision Processes Matthieu Geist B. Scherrer Olivier Pietquin 97 317 0 31 Jan 2019
Q-learning with UCB Exploration is Sample Efficient for Infinite-Horizon MDP Kefan Dong Yuanhao Wang Xiaoyu Chen Liwei Wang OffRL 44 95 0 27 Jan 2019
Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization Pengqian Yu J. Lee Ilya Kulyatin Zekun Shi Sakyasingha Dasgupta 18 64 0 25 Jan 2019
A Theoretical Analysis of Deep Q-Learning Jianqing Fan Zhuoran Yang Yuchen Xie Zhaoran Wang 119 601 0 01 Jan 2019
Optimizing Market Making using Multi-Agent Reinforcement Learning Yagna Patel 21 32 0 26 Dec 2018
Double Deep Q-Learning for Optimal Execution Brian Ning Franco Ho Ting Ling S. Jaimungal OffRL 23 80 0 17 Dec 2018
Soft Actor-Critic Algorithms and Applications Tuomas Haarnoja Aurick Zhou Kristian Hartikainen George Tucker Sehoon Ha ... Vikash Kumar Henry Zhu Abhishek Gupta Pieter Abbeel Sergey Levine 116 2,391 0 13 Dec 2018
Exploration versus exploitation in reinforcement learning: a stochastic control approach Haoran Wang T. Zariphopoulou X. Zhou 26 49 0 04 Dec 2018
An Introduction to Deep Reinforcement Learning Vincent François-Lavet Peter Henderson Riashat Islam Marc G. Bellemare Joelle Pineau OffRL AI4CE 123 1,242 0 30 Nov 2018
Practical Deep Reinforcement Learning Approach for Stock Trading Xiao-Yang Liu Zhuoran Xiong Shanli Zhong Hongyang Yang A. Elwalid AIFin 43 164 0 19 Nov 2018
Is Q-learning Provably Efficient? Chi Jin Zeyuan Allen-Zhu Sébastien Bubeck Michael I. Jordan OffRL 54 801 0 10 Jul 2018
Stochastic Variance-Reduced Policy Gradient Matteo Papini Damiano Binaghi Giuseppe Canonaco Matteo Pirotta Marcello Restelli 56 174 0 14 Jun 2018
A Finite Time Analysis of Temporal Difference Learning With Linear Function Approximation Jalaj Bhandari Daniel Russo Raghav Singal 101 336 0 06 Jun 2018
A Sliding-Window Algorithm for Markov Decision Processes with Arbitrarily Changing Rewards and Transitions Pratik Gajane R. Ortner P. Auer 31 64 0 25 May 2018
Market Making via Reinforcement Learning Thomas Spooner John Fearnley Rahul Savani Andreas Koukorinis 44 113 0 11 Apr 2018
The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios I. Halperin 35 33 0 17 Jan 2018
Global Convergence of Policy Gradient Methods for the Linear Quadratic Regulator Maryam Fazel Rong Ge Sham Kakade M. Mesbahi 77 599 0 15 Jan 2018
Soft Actor-Critic: Off-Policy Maximum Entropy Deep Reinforcement Learning with a Stochastic Actor Tuomas Haarnoja Aurick Zhou Pieter Abbeel Sergey Levine 236 8,236 0 04 Jan 2018
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds I. Halperin OffRL 37 84 0 13 Dec 2017
Mastering Chess and Shogi by Self-Play with a General Reinforcement Learning Algorithm David Silver Thomas Hubert Julian Schrittwieser Ioannis Antonoglou Matthew Lai ... D. Kumaran T. Graepel Timothy Lillicrap Karen Simonyan Demis Hassabis 107 1,755 0 05 Dec 2017
On overfitting and asymptotic bias in batch reinforcement learning with partial observability Vincent François-Lavet Guillaume Rabusseau Joelle Pineau D. Ernst R. Fonteneau OffRL 37 33 0 22 Sep 2017
Learning Unknown Markov Decision Processes: A Thompson Sampling Approach Ouyang Yi Mukul Gagrani A. Nayyar R. Jain 32 126 0 14 Sep 2017
Proximal Policy Optimization Algorithms John Schulman Filip Wolski Prafulla Dhariwal Alec Radford Oleg Klimov OffRL 259 18,685 0 20 Jul 2017
A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem Zhengyao Jiang Dixing Xu Jinjun Liang OOD 60 344 0 30 Jun 2017
Constrained Policy Optimization Joshua Achiam David Held Aviv Tamar Pieter Abbeel 101 1,313 0 30 May 2017
Unifying PAC and Regret: Uniform PAC Bounds for Episodic Reinforcement Learning Christoph Dann Tor Lattimore Emma Brunskill 67 307 0 22 Mar 2017
Minimax Regret Bounds for Reinforcement Learning M. G. Azar Ian Osband Rémi Munos 68 771 0 16 Mar 2017
Reinforcement Learning with Deep Energy-Based Policies Tuomas Haarnoja Haoran Tang Pieter Abbeel Sergey Levine 77 1,329 0 27 Feb 2017