|VITTORI EDOARDO||Cycle: XXXIV |
Section: Computer Science and Engineering
Tutor: GATTI NICOLA
Advisor: RESTELLI MARCELLO Major Research topic
:Augmenting Traders with learning machinesAbstract:
I will research the use of custom made, state of the art machine learning algorithms with the objective of generating signals to manage complex portfolios in a multi-asset context.
This entails a careful reproduction of a realistic financial environment that considers factors such as liquidity, transaction costs, but also the newest regulations; and the observation of trading paradigms: maximizing return while being risk averse and optimizing execution timing.
I will study, both theoretically and experimentally, the use of reinforcement learning (RL) to solve such a complex environment, aiming to contribute in the fields of risk-averse RL, configurable MDPs and experts in online learning.