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Censored Exploration in Dark Pools

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If you have a question about this talk, please contact Zoubin Ghahramani.

I will introduce the problem of order dispersion in dark pools, a relatively new kind of equities exchange in which traders seek to “invisibly” trade large volumes at market prices. I will present a provably efficient algorithm for near-optimal order placement in dark pools. This algorithm is based on methods from reinforcement learning and the Kaplan-Meier estimator from survival analysis. Some experimental evaluation of the algorithm will be presented.

Joint work with Kuzman Ganchev, Yuriy Nevmyvaka, and Jennifer Wortman Vaughan.

This talk is part of the Machine Learning @ CUED series.

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