[转]Deep Reinforcement Learning Based Trading Application at JP Morgan Chase
Deep Reinforcement Learning Based Trading Application at JP Morgan Chase
https://medium.com/@ranko.mosic/reinforcement-learning-based-trading-application-at-jp-morgan-chase-f829b8ec54f2
FT released a story today about the new application that will optimize JP Morgan Chase trade execution ( Business Insider article on the same topic for readers that do not have FT subscription ). The intent is to reduce market impact and provide best trade execution results for large orders.
It is a complex application with many moving parts:
Its core is an RL algorithm that learns to perform the best action ( choose optimal price, duration and order size ) based on market conditions. It is not clear if it is Sarsa ( On-Policy TD Control) or Q-learning (Off-Policy Temporal Difference Control Algorithm ) as both algorithms are present in JP Morgan slides:
Sarsa
Q-learning
State consists of price series, expected spread cost, fill probability, size placed, as well as elapsed time, %progress, etc. Rewards are immediate rewards ( price spread ) and terminal ( end of episode ) rewards like completion, order duration and market penalties ( obviously those are negative rewards that punish the agent along these dimensions ).
Actions are memorized as weights of a Deep Neural Network — function approximation via NN is used since state, action space is too big to be handled in tabular form. We assume stochastic gradient descent is used for both feed forward and backprop operation operation ( hence Deep designation ):
JP Morgan is convinced this is the very first real time trading AI/ML application on Wall Street. We are assuming this is not true i.e. there are surely other players operating in this space as RL implementation to order execution is known for quite a while now ( Kearns and Nevmyvaka 2006 ).
The latest LOXM developmentswill be presented at QuantMinds Conference in Lisbon (May of 2018).
Instinet is also using Q-learning, probably for the same purpose ( market impact reduction ).
[转]Deep Reinforcement Learning Based Trading Application at JP Morgan Chase的更多相关文章
- 【资料总结】| Deep Reinforcement Learning 深度强化学习
在机器学习中,我们经常会分类为有监督学习和无监督学习,但是尝尝会忽略一个重要的分支,强化学习.有监督学习和无监督学习非常好去区分,学习的目标,有无标签等都是区分标准.如果说监督学习的目标是预测,那么强 ...
- (转) Deep Reinforcement Learning: Playing a Racing Game
Byte Tank Posts Archive Deep Reinforcement Learning: Playing a Racing Game OCT 6TH, 2016 Agent playi ...
- (转) Deep Reinforcement Learning: Pong from Pixels
Andrej Karpathy blog About Hacker's guide to Neural Networks Deep Reinforcement Learning: Pong from ...
- (转) Playing FPS games with deep reinforcement learning
Playing FPS games with deep reinforcement learning 博文转自:https://blog.acolyer.org/2016/11/23/playing- ...
- (zhuan) Deep Reinforcement Learning Papers
Deep Reinforcement Learning Papers A list of recent papers regarding deep reinforcement learning. Th ...
- 论文笔记之：Asynchronous Methods for Deep Reinforcement Learning
Asynchronous Methods for Deep Reinforcement Learning ICML 2016 深度强化学习最近被人发现貌似不太稳定,有人提出很多改善的方法,这些方法有很 ...
- [DQN] What is Deep Reinforcement Learning
已经成为DL中专门的一派,高大上的样子 Intro: MIT 6.S191 Lecture 6: Deep Reinforcement Learning Course: CS 294: Deep Re ...
- 论文笔记：Learning how to Active Learn: A Deep Reinforcement Learning Approach
Learning how to Active Learn: A Deep Reinforcement Learning Approach 2018-03-11 12:56:04 1. Introduc ...
- 18 Issues in Current Deep Reinforcement Learning from ZhiHu
深度强化学习的18个关键问题 from: https://zhuanlan.zhihu.com/p/32153603 85 人赞了该文章 深度强化学习的问题在哪里?未来怎么走?哪些方面可以突破? 这两 ...
随机推荐
- UI基础四：简单的assign block
经常会有需求让在标准的order加个assign block,那就来简单说一下: 1.创建assign block组件ZXXXXXX 2.添加BTORDER节点和GUID属性 3.创建表视图(可配置, ...
- SQL 查询语句
4.2 单表查询 4.2.1 列名(表名)的别名(as 可以不加) 给列名取别名既可以加 as 也可以不加. (2008 - Sage.lower(Sdept)等可计算但无列名,需要指定列名) 原列名 ...
- ffmpeg+libmp3lame库源码安装教程（CentOS）
lame--libmp3lame的安装包,支持MP3编码:yasm--NASM的重写,用于编译ffmpeg. 1.下载 ffmpeg下载链接:http://ffmpeg.org/download.ht ...
- 基于spring的PropertySource类实现配置的动态替换
public class ConfigPropertySource extends PropertySource<Properties> implements PriorityOrdere ...
- Ubuntu中的在文件中查找和替换命令
分类: 9.Linux技巧2009-09-29 13:40 1429人阅读 评论(0) 收藏 举报 ubuntujdbc 1.查找 find /home/guo/bin -name /*.txt | ...
- POJ 1088 滑雪(记忆化搜索+dp)
POJ 1088 滑雪 Time Limit: 1000MS Memory Limit: 65536K Total Submissions: 107319 Accepted: 40893 De ...
- 我眼中的Linux系统和红帽RHCE认证
牛顿曾经说过“我不知道在别人看来,我是什么样的人:但在我自己看来,我不过就象是一个在海滨玩耍的小孩,为不时发现比寻常更为光滑的一块卵石或比寻常更为美丽的一片贝壳而沾沾自喜,而对于展现在我面前的浩瀚的真 ...
- ubuntu compile openjdk87
0. use oracle JDK,not OpenJDK 1. 遇到错误Error:./gamma: relocation error: /usr/lib/jvm/java-7-openjdk-am ...
- JS时间戳和时间之间转换
一.时间转换时间戳 var date = new Date(); //时间对象 var str = date.getTime(); //转换成时间戳 二.时间戳转换为时间 1.转换成形如 2018 ...
- vue-9-动画
transition: <div id="demo"> <button v-on:click="show = !show"> Toggl ...