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Chapter 21

Reinforcement Learning

Curated summaries of the key literature behind this chapter — the findings, the methods, and how to put them to work.

30 referenced in this chapter 14 further reading

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Deep Reinforcement Learning for Trading—A Critical Survey
Adrian Millea (2021)
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
Igor Halperin (2019)
Generative Adversarial Imitation Learning
Jonathan Ho and Stefano Ermon (2016)
High-frequency trading in a limit order book
Marco Avellaneda and Sasha Stoikov (2008)
G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning
Matthew Dixon and Igor Halperin (2020)
plus 77 more references inside
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