With Machine Learning ascendant, Suite LLC has been conducting research into how Reinforcement Learning techniques promise to accelerate the computation of real-time risk management results. Suite LLC’s James Baker presented some of the company’s work in this area at the recent QuantMinds International 2022 conference in Barcelona.
Financial risk management requires continuous recomputation of a vast array of interdependent analytics. Simply transferring those computations to the cloud does not guarantee high performance.
As James Baker states in the white paper, “Real-time risk computation loads can be notoriously heavy. Distributing them in the cloud seems appealing. But determining the optimal distribution strategy is more challenging than it sounds. This white paper shows how a reinforcement learning agent can help.”
The new approach leverages algorithmic advances in Reinforcement Learning such that an agent can be trained to dynamically solve the optimal distribution problem.
The work is detailed in the new white paper, “Using Reinforcement Learning to Accelerate Real-Time Risk” which is now available for download.
About Suite LLC
Suite LLC, established in 2001, is an independent New York City-based vendor of derivatives software and services supporting a global client base that includes Banks, Hedge-Funds, Exchanges, and other financial services organizations.
For more information about Suite LLC, visit: https://www.suitellc.com