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This commit is contained in:
Yuchen Fang
2021-01-28 00:41:02 +08:00
parent 98086e4fdc
commit a03b08bb4c
21 changed files with 154 additions and 563 deletions
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4
examples/trade/agent/basic.py
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@@ -67,7 +67,5 @@ class AC(VWAP):
t = t + 1
k_tild = self.lamb / self.eta * sig * sig
k = np.arccosh(k_tild / 2 + 1)
act = (np.sinh(k * (self.T - t)) - np.sinh(k * (self.T - t - 1))) / np.sinh(
k * self.T
)
act = (np.sinh(k * (self.T - t)) - np.sinh(k * (self.T - t - 1))) / np.sinh(k * self.T)
return Batch(act=act, state=state)