Risk-averse reinforcement learning for algorithmic trading

Yun Shen, Ruihong Huang, Chang Yan, Klaus Obermayer. Risk-averse reinforcement learning for algorithmic trading. In IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014. pages 391-398, IEEE, 2014. [doi]

Authors

Yun Shen

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Ruihong Huang

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Chang Yan

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Klaus Obermayer

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