Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
The Chiarella-Heston model, an advanced agent-based model, enhances deep hedging strategies by incorporating different types of traders, and performs better in creating realistic financial time series than three other models.
Featured in No. 24 on 2 Nov 2023 · 5 days after release · 13 citations today · published in Proceedings of the Fourth ACM International Conference on AI in Finance
- Released
- 28 Oct 2023
- First featured
- No. 24 · 2 Nov 2023
- Citations (Semantic Scholar)
- 13
- Influential citations
- 0
- Published in
- Proceedings of the Fourth ACM International Conference on AI in Finance
- Shares when featured
- 9
- Identifier
- doi:10.1145/3604237.3626913
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).