Sunday 1 November 2020

Machine learning hedge strategy with deep Gaussian process regression – Risk.net

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When applying machine learning to trading strategy, two inevitable practical issues are achieving interpretable results and securing robustness to market changes. To overcome these challenges, Yoshihiro Tawada and Toru Sugimura propose a new method to obtain a hedge strategy for options by applying Gaussian process regression to the policy function in reinforcement learning. The method is tested using typical option schemes with a transaction cost and compared

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