[4M3-GS-10] AI application: Optimization / Visualization

[4M3-GS-10-02] Efficient DeepHedging mechanism based on value function learning

〇Kazui Matoya¹, Yunzhuo Wang¹, Masanori Hirano¹, Kentaro Imajo¹ (1. Preferred Networks, Inc.)

Keywords:Deep Hedging, Derivative

DeepHedge, using deep learning and price time series simulation for better hedging, is noted for handling real-world market issues like trading fees, not just ideal markets. It's known that training gets tough with standard feedforward neural networks in Deep Hedging, but some settings have efficient structures like the No-Transaction Band Network. Deep Hedging can be seen through reinforcement learning too. Learning hedging strategies with actor-critic reinforcement learning is done, but this can make training harder. This study introduces an algorithm to model value functions well, making neural network learning easier across many problems. It shows that this method outputs better hedging strategies faster than typical networks.