Optimal liquidation of foreign currencies when FX rates follow a generalised Ornstein-Uhlenbeck process

Author:

Li LinweiORCID,Matt Paul-Amaury,Heumann Christian

Funder

Daimler AG

Publisher

Springer Science and Business Media LLC

Subject

Artificial Intelligence

Reference21 articles.

1. Sutton RS, Barto AG (2018) Reinforcement Learning: An Introduction. 2nd edn, Cambridge. http://incompleteideas.net/book/the-book-2nd.html

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3. Hochreiter S, Schmidhuber J (1997) Long short-term memory. Neural Comput 9(8):1735–1780. https://doi.org/10.1162/neco.1997.9.8.1735

4. Mnih V, Kavukcuoglu K, Silver D, Graves A, Antonoglou I, Wierstra D, Riedmiller MA (2013) Playing atari with deep reinforcement learning. arXiv:1312.5602

5. Schulman J, Wolski F, Dhariwal P, Radford A, Klimov O (2017) Proximal policy optimization algorithms. arXiv:1707.06347

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