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Bloomberg Quant Seminar Series
April 30, 2019 @ 5:00 pm - 8:00 pm UTC+0
| April 30, 2019 | New York |
| Bloomberg Quant Seminar Series |
Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance.
In this session, chaired by Bruno Dupire, Gordon Ritter, Ph.D., will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics.
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Keynote
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Gordon Ritter, Ph.D. Professor at NYU Courant and Tandon, Baruch College, and Rutgers University |
Reinforcement Learning in Execution, Hedging and Arbitrage
Reinforcement learning is a way of training a machine to find an optimal policy for a stochastic optimal control system, without explicitly building a model for the system. In reinforcement learning, the search for optimal policies is organized around the search for the optimal value function (in the sense of the Hamilton-Jacobi-Bellman equation). We show that many problems in finance are special cases of this framework; for example, any derivative that can be priced by replication has the property that its price is given by the value function of the dynamic replicating portfolio strategy. Optimal execution problems — such as the Almgren–Chriss model and its extensions, are also problems of this type, and reinforcement learning techniques can be used to train agents which are capable of executing, or hedging, optimally. This remains true in the presence of market impact, and is insensitive to the type of market impact model that is used.
Agenda
5:00pm – Check-in
5:30pm – Keynote: Gordon Ritter, Ph.D.
6:15pm – Lightning talks
A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
7:00pm – Cocktail reception
When & whereTuesday, April 30, 2019
5:00pm – 8:00pm EDT
Bloomberg L.P.
731 Lexington Avenue
7 MPR
New York, NY 10022
Map
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