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Full-Text Articles in Mathematics
Reinforcement Learning: Low Discrepancy Action Selection For Continuous States And Actions, Jedidiah Lindborg
Reinforcement Learning: Low Discrepancy Action Selection For Continuous States And Actions, Jedidiah Lindborg
Electronic Theses and Dissertations
In reinforcement learning the process of selecting an action during the exploration or exploitation stage is difficult to optimize. The purpose of this thesis is to create an action selection process for an agent by employing a low discrepancy action selection (LDAS) method. This should allow the agent to quickly determine the utility of its actions by prioritizing actions that are dissimilar to ones that it has already picked. In this way the learning process should be faster for the agent and result in more optimal policies.
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
SMU Data Science Review
The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …