Essays about: "Markov Process"
Showing result 1 - 5 of 128 essays containing the words Markov Process.
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1. Risk-Averse Multi-Armed Bandit Problem with Multiple Plays
University essay from Göteborgs universitet/Institutionen för data- och informationsteknikAbstract : This study aims to construct an efficient heuristic, referred to as RA, for a riskaverse Markovian multi-armed bandit problem (MAB) with multiple plays. The RA incorporates risk-aversion and multiple plays by modifying the Gittins index strategy. READ MORE
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2. On Predicting Price Volatility from Limit Order Books
University essay from Uppsala universitet/Matematiska institutionenAbstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE
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3. Optimal Order Placement Using Markov Models of Limit Order Books
University essay from KTH/Matematik (Avd.)Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE
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4. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE
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5. Decreasing Training Time of Reinforcement Learning Agents for Remote Tilt Optimization using a Surrogate Neural Network Approximator
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : One possible application of reinforcement learning in the telecommunication field is antenna tilt optimization. However, one of key challenges we face is that the use of handcrafted simulators as environments to provide information for agents is often time-consuming regarding training reinforcement learning agents. READ MORE