Minor Oral: "Reinforcement learning in limit order trading"

Abstract: I will talk about two cases of applications of reinforcement learning (RL) on the modern financial market. A brief introduction to the RL will be given and also I’ll go through more details about how to fit the optimized execution trade and market making problems into the RL framework. Results of the experiments on the stock market and some potential future work related to this field will be presented.

Host: Jose Figueroa-Lopez