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Machine Learning for Finance
book

Machine Learning for Finance

by James Le, Jannes Klaas
May 2019
Intermediate to advanced content levelIntermediate to advanced
456 pages
11h 38m
English
Packt Publishing
Content preview from Machine Learning for Finance

Markov processes and the bellman equation – A more formal introduction to RL

Following the long history of modern deep learning being a continuation of quantitative finance with more GPUs, the theoretical foundation of reinforcement learning lies in Markov models.

Note

Note: This section requires a bit of mathematical background knowledge. If you are struggling, there is a beautiful visual introduction by Victor Powell here: http://setosa.io/ev/markov-chains/.

A more formal, but still simple, introduction is available on the website Analytics Vidhya: https://www.analyticsvidhya.com/blog/2014/07/markov-chain-simplified/.

A Markov model describes a stochastic process with different states in which the probability of ending up in a specific state is ...

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Publisher Resources

ISBN: 9781789136364Supplemental Content