PhD Seminar • Scientific Computing • A Deep Learning Approach to Solving Time Consistent Mean-variance Optimal Trade ExecutionExport this event to calendar

Thursday, November 16, 2023 — 9:00 AM to 10:00 AM EST

Please note: This PhD seminar will take place in DC 2102.

Andrew Na, PhD candidate
David R. Cheriton School of Computer Science

Supervisor: Professor Justin Wan

We explore using deep learning to solve the time consistent mean variance optimal trade execution problem. We formulate an HJB equation for the time-consistent mean-variance optimal trade execution problem, which is extended to a multi-asset setting. We present a deep learning method to solve the problem. Given time we will also look at the extension of the problem into the multi-agent setting.

Location 
DC - William G. Davis Computer Research Centre
DC 2102
200 University Avenue West

Waterloo, ON N2L 3G1
Canada
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