Monte carlo tree search for trading and hedging
Proceedings of the Second ACM International Conference on AI in Finance, 2021•dl.acm.org
Monte Carlo Tree Search (MCTS) has had very exciting results in the field of two-player
games. In this paper, we analyze the behavior of these algorithms in the financial field, in
trading where, to the best of our knowledge, it has never been applied before and in option
hedging. In particular, using MCTS algorithms capable of handling stochastic states and
continuous actions, we setup a practical framework testing it on real data both in the trading
and hedging case.
games. In this paper, we analyze the behavior of these algorithms in the financial field, in
trading where, to the best of our knowledge, it has never been applied before and in option
hedging. In particular, using MCTS algorithms capable of handling stochastic states and
continuous actions, we setup a practical framework testing it on real data both in the trading
and hedging case.
Monte Carlo Tree Search (MCTS) has had very exciting results in the field of two-player games. In this paper, we analyze the behavior of these algorithms in the financial field, in trading where, to the best of our knowledge, it has never been applied before and in option hedging. In particular, using MCTS algorithms capable of handling stochastic states and continuous actions, we setup a practical framework testing it on real data both in the trading and hedging case.
ACM Digital Library以上显示的是最相近的搜索结果。 查看全部搜索结果