图 书 馆
有经验的投资组合选择Empirical Portfolio Selection |
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| 课程网址: | http://videolectures.net/amlcf09_gyorfi_eps/ |
| 主讲教师: | László Györfi |
| 开课单位: | 布达佩斯技术经济大学 |
| 开课时间: | 2009-08-21 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | Dark pools are a relatively recent type of equities exchange in which transparency is deliberately limited in order to minimize the market impact of large-volume trades. The success and proliferation of dark pools has also led to a challenging and interesting problem in algorithmic trading --- namely, optimizing the distribution of a large trade over multiple competing dark pools. In this work we formalize this as a problem of multi-venue exploration from censored data, and provide a provably efficient and near-optimal algorithm for its solution. This algorithm and its analysis has much in common with well-studied algorithms for exploration-exploitation in reinforcement learning, and is evaluated on dark pool execution data from a large brokerage. |
| 关 键 词: | 经济学; 投资; 股票 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2021-01-08：yumf |
| 阅读次数: | 49 |