no code implementations • 13 Mar 2023 • Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
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.
1 code implementation • 13 Sep 2022 • Terence L. Van Zyl, Matthew Woolway, Andrew Paskaramoorthy
Portfolio management is a multi-period multi-objective optimisation problem subject to a wide range of constraints.
1 code implementation • 22 Aug 2022 • Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
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.
no code implementations • 19 Jun 2021 • Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance.
1 code implementation • 30 Mar 2020 • Andrew Paskaramoorthy, Terence van Zyl, Tim Gebbie
This article provides a workflow that can in-turn be embedded into a process level learning framework.