Deep reinforcement learning is a promising area of research with the potential to mimic the decision-making of traders with years of experience on the trading floor. Take a quick look into one potential applica
CommoditiesPortfolio optimizationReinforcement learningSARSAThreshold modelsWe propose a reinforcement learning (RL) algorithm for generating a trading strategy in a realistic setting, that includes transaction costs and factors driving the asset dynamics. We benchmark our algorithm against the analytical ...
作者提出通过最大化夏普比率或差分夏普率使用递归强化学习(Recurrent Reinforcement Learning, RRL)训练交易系统,并在1970-1994年的标普500的月线指数进行实验,取得了相对较好的收益。 交易指令 智能体可以执行买多、观望、卖空指令,记为 F_t\in{-1, 0, 1} F_t = tanh(w^T \cdot x_t) 递归强化学习 递...
PS:近两年由于深度学习的火爆,深度增强学习的出现将带来新的一波浪潮,听说美国已经有人用Deep Reinforcement Learning进行量化交易,效果还不错。 Paper 关于基于Reinforcement Learning的Trading的Paper和资料能找到很多,简单列举一些,供大家阅读参考: Reinforcement Learning for Trading Reinforcement Learning for Optimized Tr...
Trading_with_RL.ipynb - Algos to trade fake market data, inspired by Gordon Ritter paper Machine Learning for Trading. This should run in Google Colab. Typical installation procedure: Install Anaconda python data science distribution Make an environment like conda create --name tf tensorflow or ...
Deep Reinforcement Learning for Quantitative Trading Challenges and Opportunities 量化交易的深度强化学习:挑战与机遇---IEEE 背景 量化交易:量化交易是指借助现代统计学和数学的方法,利用计算机技术来进行交易的证券投资方式。 量化交易从庞大的历史数据中海选能带来超额收益的多种“大概率”事件以制定策略,用数量模型验...
Paper: Deep Reinforcement Learning for Trading https://arxiv.org/pdf/1911.10107.pdfarxiv.org/pdf/1911.10107.pdf Markov Decision Process Formalization Expected discounted cumulative rewards: State Space- a list of features: Action Space: The design of continuous action spaces is very similar to...
强化学习(Reinforcement Learning, RL)在游戏和金融算法交易中的应用。 1强化学习简介 强化学习是一种通过与环境交互不断学习最优决策的机器学习方法。以下为主要概念: 环境(Environment):问题空间,例如电子游戏或金融市场。 状态(State):描述环境当前情况的参数,如游戏的屏幕像素或市场的价格数据。
3. Where is Reinforcement learning used in real life? In real life, Reinforcement Learning can be used in robotics, gaming, healthcare, finance, autonomous vehicles, stock trading, etc. 4. What is the role of reward in Reinforcement learning?
nforcement Learning Automated Stock-Market Trading using Reinforcement LearningAutomated Stock-Market Trading using Reinforcement LearningMy project will explore the effectiveness of using an automated agent to make stock trading decisions. I propose to create a reinforcement- learning agent that uses q-...