Abu Dhabi Machine Learning Season 2 Episode 3
22.02.2022 - Abu Dhabi Machine Learning - ~1 Minute
When?
- Tuesday, February 22, 2022 from 6:00 PM to 7:00 PM (Abu Dhabi Time)
Where?
- At your home, on zoom. We are looking at hosting in-person events (and broadcasting online on zoom). Any companies or institutions interested in hosting us?
Programme:
Talk 1: Deep Reinforcement Learning for Asset Management
Eric Benhamou, Senior Data Scientist @Ai for Alpha, Associate Professor @Dauphine PSL
Summary: In this talk, we present how at Ai for Alpha we apply Deep Reinforcement Learning (DRL) for asset management. We present two applications: first when combined with an auxiliary task of Supervised Learning for regime prediction, to capture non-linearity in portfolio allocation, and, second when applied to decoding strategies to be able to analyse factor dependencies.
Some interesting research documents by Eric on RL for finance to go beyond the talk:
- Paper review: Decision Transformer: Reinforcement Learning via Sequence Modelling
- Knowledge discovery with Deep RL for selecting financial hedges (AAAI 2021 KDF Presentation slides)
- Time your hedge with Deep Reinforcement Learning (ICAPS 2020 Presentation Slides)
- Deep Reinforcement Learning for Portfolio Allocation -DRLPS: Deep Reinforcement Learning for Portfolio Selection (Presentation Slides ECML PKDD)