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You can check the recent article "Deep Reinforcement Learning for Algorithmic Trading" by Cartea et. al.


I doubt this is publicly available, if you do not find it on the respective websites. It's their intellectual property after all. Moreover, I think these are all enterprise solutions. As such, I am sure any vendor you reach out to and show genuine interest will be more than happy to assist you. For example, if you use Bloomberg, just ask the help desk and ...


The problem with the measure used by lebelinoz above is that the denominator, which is the square of the standard deviation of the hypothetical portfolio of the same assets wherein the cross-correlations between the assets are all zero, is not necessarily greater than the numerator for all possible values of the cross-correlations. A better quantity to use ...

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