Application of deep reinforcement learning in stock trading strategies and stock forecasting

被引:78
作者
Li, Yuming [1 ]
Ni, Pin [1 ]
Chang, Victor [2 ]
机构
[1] Univ Liverpool, Dept Comp Sci, Liverpool, Merseyside, England
[2] Teesside Univ, Sch Comp Engn & Digital Technol, Middlesbrough, Cleveland, England
关键词
Reinforcement learning; Financial strategy; Deep Q learning; OPTIMIZATION;
D O I
10.1007/s00607-019-00773-w
中图分类号
TP301 [理论、方法];
学科分类号
081202 ;
摘要
The role of the stock market across the overall financial market is indispensable. The way to acquire practical trading signals in the transaction process to maximize the benefits is a problem that has been studied for a long time. This paper put forward a theory of deep reinforcement learning in the stock trading decisions and stock price prediction, the reliability and availability of the model are proved by experimental data, and the model is compared with the traditional model to prove its advantages. From the point of view of stock market forecasting and intelligent decision-making mechanism, this paper proves the feasibility of deep reinforcement learning in financial markets and the credibility and advantages of strategic decision-making.
引用
收藏
页码:1305 / 1322
页数:18
相关论文
共 33 条
[1]  
Abtahi F, 2015, 2015 14TH IAPR INTERNATIONAL CONFERENCE ON MACHINE VISION APPLICATIONS (MVA), P539, DOI 10.1109/MVA.2015.7153249
[2]   A league championship algorithm equipped with network structure and backward Q-learning for extracting stock trading rules [J].
Alimoradi, Muhammad Reza ;
Kashan, Ali Husseinzadeh .
APPLIED SOFT COMPUTING, 2018, 68 :478-493
[3]   An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown [J].
Almahdi, Saud ;
Yang, Steve Y. .
EXPERT SYSTEMS WITH APPLICATIONS, 2017, 87 :267-279
[4]   Robust technical trading strategies using GP for algorithmic portfolio selection [J].
Berutich, Jose Manuel ;
Lopez, Francisco ;
Luna, Francisco ;
Quintana, David .
EXPERT SYSTEMS WITH APPLICATIONS, 2016, 46 :307-315
[5]   A dynamic threshold decision system for stock trading signal detection [J].
Chang, Pei-Chann ;
Liao, T. Warren ;
Lin, Jyun-Jie ;
Fan, Chin-Yuan .
APPLIED SOFT COMPUTING, 2011, 11 (05) :3998-4010
[6]   Towards an improved Adaboost algorithmic method for computational financial analysis [J].
Chang, Victor ;
Li, Taiyu ;
Zeng, Zhiyang .
JOURNAL OF PARALLEL AND DISTRIBUTED COMPUTING, 2019, 134 :219-232
[7]   A hybrid model based on rough sets theory and genetic algorithms for stock price forecasting [J].
Cheng, Ching-Hsue ;
Chen, Tai-Liang ;
Wei, Liang-Ying .
INFORMATION SCIENCES, 2010, 180 (09) :1610-1629
[8]   Mining associative classification rules with stock trading data - A GA-based method [J].
Chien, Ya-Wen Chang ;
Chen, Yen-Liang .
KNOWLEDGE-BASED SYSTEMS, 2010, 23 (06) :605-614
[9]  
Dulac-Arnold Gabriel, 2015, Deep reinforcement learning in large discrete action spaces
[10]  
Foerster JN, 2016, ADV NEUR IN, V29