Reinforcement Learning in Finance

This course aims at introducing the fundamental concepts of Reinforcement Learning (RL), and develop use cases for applications of RL for option valuation, trading, and asset management. By the end of this course, students will be able to

• Use reinforcement learning to solve classical problems of Finance such as portfolio optimization, optimal trading, and option pricing and risk management.
• Practice on valuable examples such as famous Q-learning using financial problems.
• Apply their knowledge acquired in the course to a simple model for market dynamics that is obtained using reinforcement learning as the course project.

Prerequisites are the courses “Guided Tour of Machine Learning in Finance” and “Fundamentals of Machine Learning in Finance”. Students are expected to know the lognormal process and how it can be simulated. Knowledge of option pricing is not assumed but desirable.

None

Syllabus

Syllabus - What you will learn from this course
Week 1
MDP and Reinforcement Learning
Week 2
MDP model for option pricing: Dynamic Programming Approach
Week 3
MDP model for option pricing - Reinforcement Learning approach
Week 4
RL and INVERSE RL for Portfolio Stock Trading

FAQ

When will I have access to the lectures and assignments?

Access to lectures and assignments depends on your type of enrollment. If you take a course in audit mode, you will be able to see most course materials for free. To access graded assignments and to earn a Certificate, you will need to purchase the Certificate experience, during or after your audit. If you don't see the audit option:

What will I get if I subscribe to this Specialization?

When you enroll in the course, you get access to all of the courses in the Specialization, and you earn a certificate when you complete the work. Your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

Is financial aid available?

Yes. In select learning programs, you can apply for financial aid or a scholarship if you can’t afford the enrollment fee. If fin aid or scholarship is available for your learning program selection, you’ll find a link to apply on the description page.

Reviews

Excellent course. The peer reviewed evaluation is very interisting and it is definitely worth the time to do it in detail but does not take two hours with luck a week.

Challenging course as a non-finance person, but learned a lot.