Discrete-Event Simulation-Based Q-Learning Algorithm Applied to Financial Leverage Effect

被引：0
作者：
Barbieri E. [1 ]
Capocchi L. [1 ]
Santucci J.F. [1 ]
机构：
[1] UMR CNRS 6134, University of Corsica, Campus Grimaldi, Corte
来源：
SN Computer Science | 2020年 / 1卷 / 1期
关键词：
Discrete event; Machine learning; Modeling; Simulation;
D O I：
10.1007/s42979-019-0051-7
中图分类号：
学科分类号：
摘要：
Discrete-event modeling and simulation and machine learning are two frameworks suited for system of systems modeling which when combined can give a powerful tool for system optimization and decision making. One of the less explored application domains is finance, where this combination can propose a driven tool to investor. This paper presents a discrete-event specification as a universal framework to implement a machine learning algorithm into a modular and hierarchical environment. This approach has been validated on a financial leverage effect based on a Markov decision-making policy. © 2019, Springer Nature Singapore Pte Ltd.
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