Deep Hedging with Market Impact
By Andrei Neagu, Frédéric Godin, Clarence Simard, Leila Kosseim
Rating
1552
Battle Count: 27
Relevance
9/10
Highly relevant for option hedging strategies in markets with limited liquidity and significant market impact
Implementation Complexity
7/10
Requires implementation of complex market dynamics and Deep Reinforcement Learning algorithms
Reproducibility
3/5
The paper provides detailed model specifications and parameter values, but code is not explicitly shared
About this paper
Methodology: Deep Reinforcement Learning. Problem types: Reinforcement Learning, Optimization, Risk Management.
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