Addressing Non-Stationarity in FX Trading with Online Model Selection of Offline RL Experts

Author:

Riva Antonio1,Bisi Lorenzo2,Liotet Pierre3,Sabbioni Luca1,Vittori Edoardo1,Pinciroli Marco4,Trapletti Michele4,Restelli Marcello1

Affiliation:

1. Politecnico di Milano, IT

2. ML cube, IT

3. Politecnico di Milano, Italy

4. Banca Intesa Sanpaolo, IT

Publisher

ACM

Reference53 articles.

1. Joshua Achiam Ethan Knight and Pieter Abbeel. 2019. Towards characterizing divergence in deep q-learning. arXiv preprint arXiv:1903.08894(2019). Joshua Achiam Ethan Knight and Pieter Abbeel. 2019. Towards characterizing divergence in deep q-learning. arXiv preprint arXiv:1903.08894(2019).

2. A. Agarwal , E. Hazan , S. Kale , and R.E. Schapire . 2006. Algorithms for portfolio management based on the Newton method . In International Conference on Machine Learning. ICML , Pittsburgh, Pennsylvania, United States, 9–16. A. Agarwal, E. Hazan, S. Kale, and R.E. Schapire. 2006. Algorithms for portfolio management based on the Newton method. In International Conference on Machine Learning. ICML, Pittsburgh, Pennsylvania, United States, 9–16.

3. Vangelis Bacoyannis Vacslav Glukhov Tom Jin Jonathan Kochems and Doo Re Song. 2018. Idiosyncrasies and challenges of data driven learning in electronic trading. arXiv preprint arXiv:1811.09549(2018). Vangelis Bacoyannis Vacslav Glukhov Tom Jin Jonathan Kochems and Doo Re Song. 2018. Idiosyncrasies and challenges of data driven learning in electronic trading. arXiv preprint arXiv:1811.09549(2018).

4. Martino Bernasconi de Luca , Edoardo Vittori , Francesco Trovò , and Marcello Restelli . 2021 . Conservative online convex optimization . In Joint European Conference on Machine Learning and Knowledge Discovery in Databases. Springer, 19–34 . Martino Bernasconi de Luca, Edoardo Vittori, Francesco Trovò, and Marcello Restelli. 2021. Conservative online convex optimization. In Joint European Conference on Machine Learning and Knowledge Discovery in Databases. Springer, 19–34.

5. Foreign exchange trading

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