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There are 4 modules in this course
In the last course of our specialization, Overview of Advanced Methods of Reinforcement Learning in Finance, we will take a deeper look into topics discussed in our third course, Reinforcement Learning in Finance.
In particular, we will talk about links between Reinforcement Learning, option pricing and physics, implications of Inverse Reinforcement Learning for modeling market impact and price dynamics, and perception-action cycles in Reinforcement Learning. Finally, we will overview trending and potential applications of Reinforcement Learning for high-frequency trading, cryptocurrencies, peer-to-peer lending, and more.
After taking this course, students will be able to
- explain fundamental concepts of finance such as market equilibrium, no arbitrage, predictability,
- discuss market modeling,
- Apply the methods of Reinforcement Learning to high-frequency trading, credit risk peer-to-peer lending, and cryptocurrencies trading.
What's included
13 videos1 assignment
Show info about module content
13 videos•Total 103 minutes
Welcome to Specialization•5 minutes
Specialization Prerequisites•7 minutes
Interview with Rossen Roussev•15 minutes
Reinforcement Learning and Ptolemy's Epicycles•5 minutes
PDEs in Physics and Finance•6 minutes
Competitive Market Equilibrium Models in Finance•5 minutes
I Certainly Hope You Are Wrong, Herr Professor!•7 minutes
Risk as a Science of Fluctuation•4 minutes
Markets and the Heat Death of the Universe•4 minutes
Option Trading and RL•15 minutes
Liquidity•10 minutes
Modeling Market Frictions•10 minutes
Modeling Feedback Frictions•10 minutes
1 assignment•Total 120 minutes
Assignment 1•120 minutes
Reinforcement Learning for Optimal Trading and Market Modeling
Module 2•3 hours to complete
Module details
What's included
8 videos1 assignment
Show info about module content
8 videos•Total 73 minutes
From Portfolio Optimization to Market Model•9 minutes
Invisible Hand•6 minutes
GBM and Its Problems•9 minutes
The GBM Model: An Unbounded Growth Without Defaults•9 minutes
Dynamics with Saturation: The Verhulst Model•7 minutes
The Singularity is Near•9 minutes
What are Defaults?•12 minutes
Quantum Equilibrium-Disequilibrium•11 minutes
1 assignment•Total 120 minutes
Assignment 2•120 minutes
Perception - Beyond Reinforcement Learning
Module 3•3 hours to complete
Module details
What's included
8 videos1 assignment
Show info about module content
8 videos•Total 60 minutes
Welcome!!•4 minutes
Market Dynamics and IRL•6 minutes
Diffusion in a Potential: The Langevin Equation•8 minutes
Classical Dynamics•8 minutes
Potential Minima and Newton's Law•4 minutes
Classical Dynamics: the Lagrangian and the Hamiltonian•8 minutes
Langevin Equation and Fokker-Planck Equations•10 minutes
The Fokker-Planck Equation and Quantum Mechanics•12 minutes
1 assignment•Total 120 minutes
Assignment 3•120 minutes
Other Applications of Reinforcement Learning: P-2-P Lending, Cryptocurrency, etc.
Module 4•3 hours to complete
Module details
What's included
9 videos1 peer review1 ungraded lab
Show info about module content
9 videos•Total 79 minutes
Welcome!!•1 minute
Electronic Markets and LOB•9 minutes
Trades, Quotes and Order Flow•8 minutes
Limit Order Book•9 minutes
LOB Modeling•8 minutes
LOB Statistical Modeling•11 minutes
LOB Modeling with ML and RL•10 minutes
Other Applications of RL•7 minutes
The Value of Universatility•15 minutes
1 peer review•Total 60 minutes
Final Project•60 minutes
1 ungraded lab•Total 60 minutes
Final Project: Exploration of non-linear market model dynamics•60 minutes
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Is financial aid available?
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