WebWe show how to solve Merton optimal investment stochastic control problem for Hawkes-based models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio … WebJul 20, 2024 · The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning -based controller is trained on a weakly consistent, multivariate Hawkes process-based limit order book simulator to obtain market making controls.
Deep Reinforcement Learning for Market Making Under a Hawkes Process …
WebJan 10, 2024 · Hawkes processes have been applied to characterize clustering events in finance, particularly to high-frequency data and market microstructure [ 3, 4 ], because many types of events are clustered in time such as order submissions [ 5 ], mid-quotes changes [ 6 ], transactions [ 7] and extreme returns occurrences [ 8 ]. WebJan 29, 2024 · Bellman Meets Hawkes: Model-Based Reinforcement Learning via Temporal Point Processes. We consider a sequential decision making problem where the agent faces the environment characterized by the stochastic discrete events and seeks an optimal intervention policy such that its long-term reward is maximized. This problem exists … csd personality
Simple discrete-time self-exciting models can describe complex
WebJul 20, 2024 · In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes process-based limit order book simulator to … WebNov 1, 2024 · As an application of the Hawkes risk model, we would like to study how replacing the classical Poisson process for claim arrivals by a self-exciting Hawkes … WebJun 26, 2024 · Written on June 26th, 2024 by Steven Morse. This post is about a stochastic process called the Hawkes process. I offer some Python code for generating synthetic sequences and doing parameter estimation, … dyson heat cool