金工论坛第八讲

金工论坛第八讲

报告题目（Title）: Reinforcement learning in continuous double auction markets: an experimental study

时间：2018年12月25日周二，12:20-13:20

地点：对外经济贸易大学博学楼925

主讲人（Speaker）：张军欢

个人介绍Biography：

张军欢，北京航空航天大学金融系副教授，伦敦国王学院计算金融学博士，美国佐治亚大学人工智能博士后。研究领域主要为人工智能和区块链在金融和经济领域的应用，尤其是计算与行为金融，区块链金融和人工智能。研究成果发表于Review of Quantitative Finance and Accounting等国际杂志。

摘要（Abstract）：

This paper investigates the influence of reinforcement learning and individual rationality in continuous double auction (CDA) markets. Two reinforcement learning methods with epsilon-greedy and SoftMax strategies are used to describe traders’ decision-making processes by learning from the experiences of themselves. Also, a random learning strategy is considered as a benchmark to compare with other reinforcement learning methods. The performance of CDA markets includes market price, number of trades, buyers’ profit, sellers’ profit, and market efficiency.