Optimal Stopping with Gaussian Processes

We propose a novel group of Gaussian Process based algorithms for fast approximate optimal stopping of time series with specific applications to financial markets. We show that structural properties commonly exhibited by financial time series (e.g., the tendency to mean-revert) allow the use of Gaus...

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Hauptverfasser:	Dwarakanath, Kshama, Dervovic, Danial, Tavallali, Peyman, Vyetrenko, Svitlana S, Balch, Tucker
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Learning Statistics - Machine Learning
Online-Zugang:	Volltext bestellen
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