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katastrofa


Total Posts: 420
Joined: Jul 2008
 
Posted: 2018-05-16 14:23
What did you get for IBM?

Nudnik Shpilkes


Total Posts: 41
Joined: Jan 2009
 
Posted: 2018-05-16 14:33

katastrofa


Total Posts: 420
Joined: Jul 2008
 
Posted: 2018-05-19 21:56
What period did you fit the model to? What was the holdout period?

Nudnik Shpilkes


Total Posts: 41
Joined: Jan 2009
 
Posted: 2018-05-24 18:46
Here you go about a course on ML and RL:

https://www.coursera.org/specializations/machine-learning-reinforcement-finance

Arrogant traders welcome :)

katastrofa


Total Posts: 420
Joined: Jul 2008
 
Posted: 2018-05-25 21:56
I'm not a trader, and I'm not particularly arrogant.

In what way does it answer my question? Are you saying that RL doesn't need holdout data? that's not true.

Nudnik Shpilkes


Total Posts: 41
Joined: Jan 2009
 
Posted: 2018-05-25 22:20
It’s not related to your question.
Calibration was done on yearly periods separately for each year. All details and numbers are in the paper.
Let me know if it looks meaningful or not.

katastrofa


Total Posts: 420
Joined: Jul 2008
 
Posted: 2018-05-25 23:14
Can you give the link again?

Nudnik Shpilkes


Total Posts: 41
Joined: Jan 2009
 
Posted: 2018-05-26 00:01
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3174498
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