Multi-Task Dynamic Pricing in Credit Market with Contextual Information

arXiv:2410.14839 · q-fin.PR, cs.LG · Submitted 2024-10-18 · Read on arXiv

q-fin.PR, cs.LG

Submitted: 2024-10-18

Updated: 2026-09-29

Terminology

• Regret — 2× in this paper · explained in 3 episodes
• Accuracy — 1× in this paper · explained in 1 episode
• Benchmark — 1× in this paper · explained in 2 episodes
• Two-Stage Multi-Task — 1× in this paper

Sources

• Strategic Learning and Trading in Broker-Mediated Markets
• Reinforcement Learning for Corporate Bond Trading: A Sell Side Perspective
• Market Making with Exogenous Competition
• Market Making without Regret
• Generalised correlated batched bandits via the ARC algorithm with application to dynamic pricing
• Data-driven Option Pricing
• Robust angle-based transfer learning in high dimensions
• Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study
• Dynamic Pricing with Demand Covariates
• Broker-Trader Partial Information Nash-Equilibria
• Multitask Learning and Bandits via Robust Statistics

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