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Adversarial Training for Deep Hedging in Nonstationary Markets

Schneider, Philipp J. et al.
arXiv (All) · Papers
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computational-financemachine-learningoptimization-and-control
Deep hedging learns trading policies from historical or simulated market trajectories, yet under nonstationarity these training paths may not represent future market conditions. We propose WRAP (Wasserstein-Reweighting Adversarial Perturbation), a drift-aware adversarial training framework derived f
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