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Found 5 papers, 3 papers with code
Many learning agents interacting with an agent-based market model
Further, we examine whether the inclusion of optimal execution agents that can learn is able to produce dynamics with the same complexity as empirical data.
Pareto Driven Surrogate (ParDen-Sur) Assisted Optimisation of Multi-period Portfolio Backtest Simulations
Portfolio management is a multi-period multi-objective optimisation problem subject to a wide range of constraints.
A simple learning agent interacting with an agent-based market model
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model.
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance.
A Framework for Online Investment Algorithms
This article provides a workflow that can in-turn be embedded into a process level learning framework.
