A Neural RDE approach for continuous-time non-Markovian stochastic control problems

no code implementations • 25 Jun 2023 • Melker Hoglund, Emilio Ferrucci, Camilo Hernandez, Aitor Muguruza Gonzalez, Cristopher Salvi, Leandro Sanchez-Betancourt, Yufei Zhang

We propose a novel framework for solving continuous-time non-Markovian stochastic control problems by means of neural rough differential equations (Neural RDEs) introduced in Morrill et al. (2021).

Model-based gym environments for limit order book trading

1 code implementation • 16 Sep 2022 • Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani, Martin Herdegen

This paper introduces \mbtgym, a Python module that provides a suite of gym environments for training reinforcement learning (RL) agents to solve such model-based trading problems.

Algorithmic Trading Reinforcement Learning (RL)

Non-average price impact in order-driven markets

no code implementations • 2 Oct 2021 • Claudio Bellani, Damiano Brigo, Mikko Pakkanen, Leandro Sanchez-Betancourt

We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios.

Clustering