Ilya Feldshteyn

New York University (NYU) - NYU Tandon School of Engineering

6 MetroTech Center

Brooklyn, NY 11201

United States

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Scholarly Papers (1)

1.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Igor Halperin and Ilya Feldshteyn
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
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Citation 5

Abstract:

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Optimal trading, Reinforcement Learning, Invisible Hand, Inverse Reinforcement Learning, self-organization, non-equilibrium dynamics, mean reversion