BriefGPT.xyz
Feb, 2024
市场冲击下的深度对冲
Deep Hedging with Market Impact
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Andrei Neagu, Frédéric Godin, Clarence Simard, Leila Kosseim
TL;DR
提出了一种基于深度强化学习的新型动态对冲模型,考虑了市场冲击、流动性等实际特征,并通过期权对冲模拟研究,结果表明该模型在低流动性环境下表现更好。
Abstract
dynamic hedging
is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability.
dynamic hedging
optimization can be framed as a sequential decision pro
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