Reinforcement Learning in Economics and Finance

With Romuald Elie and Carl Remlinger we recently uploaded on ArXiv a paper on Reinforcement Learning in Economics and Finance Reinforcement learning algorithms describe how an agent can learn an optimal action policy in a sequential decision process, through repeated experience. In a given environment, the agent policy provides him some running and terminal rewards. As in online learning, the agent learns sequentially. As in multi-armed bandit problems, when an agent picks an action, he can n..