Advancing the Field of Quantitative Finance
formerly the IAFE

Event: IAFE /Thalesians Seminar Series
Date: Tuesday, September 4, 2012
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
Location:

NYU Kimmel Center

Room 914

60 Washington Square South

New York, NY 10012

 

The International Association of Financial Engineers is

pleased to invite you to

 

IAFE /Thalesians Seminar Series:


Reinforcement Learning Approaches to Algorithmic Trading
A Talk by Michael Kearns


 

ABSTRACT

Michael Kearns will discuss the use of reinforcement learning methods from machine learning for problems in algorithmic trading. Reinforcement learning takes a state-based, control-theoretic approach that explicitly considers the trade-off between exploration and exploitation during the learning process.

 

Professor Kearns will present two case studies along these lines. The first is a large-scale empirical study of the application of reinforcement learning to the problem of optimized trade execution. The second is an algorithmic and theoretical examination of the problem of smart order routing in dark pools.

 

BIOGRAPHY

Michael Kearns is a professor in the Computer and Information Science department at the University of Pennsylvania, where he holds the National Center Chair and has joint appointments in the Wharton School. He is founding director of Penn's new Market and Social Systems Engineering (MKSE) program (www.mkse.upenn.edu). His research interests include topics in machine learning, computational finance, social networks, and algorithmic game theory. He has consulted extensively in the technology and finance industries, and is currently a co-PM in the MultiQuant division of SAC Capital in New York. Further information is available at www.cis.upenn.edu/~mkearns.

ABOUT THE SERIES

The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.  Click here for information on the IAFE/Thalesian Seminar Series.