no code implementations • 21 Oct 2019 • Benjamin Petit, Loren Amdahl-Culleton, Yao Liu, Jimmy Smith, Pierre-Luc Bacon
While often stated as an instance of the likelihood ratio trick [Rubinstein, 1989], the original policy gradient theorem [Sutton, 1999] involves an integral over the action space.
no code implementations • 13 May 2019 • Matt Emschwiller, Benjamin Petit, Jean-Philippe Bouchaud
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are $L_1$.