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深度对冲网络参数化的拓扑方法

A Topological Approach to Parameterizing Deep Hedging Networks

Alok Das, Kiseop Lee

arXiv
2025年10月19日

深度套期保值使用循环神经网络对冲无法在不完整市场中完全对冲的金融产品。 该领域的先前工作重点是通过计算路径梯度来最小化二次对冲误差的测量,但这样做需要大批量大小,并且可以在合理的时间内使训练有效的模型具有挑战性。 我们通过添加某些拓扑功能,我们可以大大减少批次大小,并使训练这些模型更实际可行,而不会极大地影响对冲性能。

Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some measure of quadratic hedging error by calculating pathwise gradients, but doing so requires large batch sizes and can make training effective models in a reasonable amount of time challenging. We show that by adding certain topological features, we can reduce batch sizes substantially and make training these models more p...