Deeper Hedging: A New Agent-based Model for Effective Deep Hedging

Author:

Gao Kang1ORCID,Weston Stephen2ORCID,Vytelingum Perukrishnen3ORCID,Stillman Namid3ORCID,Luk Wayne1ORCID,Guo Ce1ORCID

Affiliation:

1. Department of Computing, Imperial College London, UK

2. Deloitte UK, UK

3. Simudyne Ltd., UK

Publisher

ACM

Reference19 articles.

1. The Pricing of Options and Corporate Liabilities

2. Jay Cao , Jacky Chen , John Hull , and Zissis Poulos . 2021. Deep hedging of derivatives using reinforcement learning. arXiv preprint arXiv:2103.16409 ( 2021 ). Jay Cao, Jacky Chen, John Hull, and Zissis Poulos. 2021. Deep hedging of derivatives using reinforcement learning. arXiv preprint arXiv:2103.16409 (2021).

3. The dynamics of speculative behaviour

4. Rama Cont . 2001. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance 1, 2 ( 2001 ), 223. Rama Cont. 2001. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance 1, 2 (2001), 223.

5. Understanding intra-day price formation process by agent-based financial market simulation: Calibrating the Extended Chiarella Model

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