Cloning strategies from trading records using agent-based reinforcement learning algorithm

Chiao Ting Chen, An-Pin Chen, Szu-Hao Huang

研究成果: Conference contribution同行評審

20 引文 斯高帕斯(Scopus)

摘要

Investment decision making is considered as a series of complicated processes, which are difficult to be analyzed and imitated. Given large amounts of trading records with rich expert knowledge in financial domain, extracting its original decision logics and cloning the trading strategies are also quite challenging. In this paper, an agent-based reinforcement learning (RL) system is proposed to mimic professional trading strategies. The concept of continuous Markov decision process (MDP) in RL is similar to the trading decision making in financial time series data. With the specific-designed RL components, including states, actions, and rewards for financial applications, policy gradient method can successfully imitate the expert's strategies. In order to improve the convergence of RL agent in such highly dynamic environment, a pre-Trained model based on supervised learning is transferred to the deep policy networks. The experimental results show that the proposed system can reproduce around eighty percent trading decisions both in training and testing stages. With the discussion of the tradeoff between explorations and model updating, this paper tried to fine-Tuning the system parameters to get reasonable results. Finally, an advanced strategy is proposed to dynamically adjust the number of explorations in each episode to achieve better results.

原文American English
主出版物標題Proceedings - 2018 IEEE International Conference on Agents, ICA 2018
發行者Institute of Electrical and Electronics Engineers Inc.
頁面34-37
頁數4
ISBN(列印)9781538681800
DOIs
出版狀態Published - 10 9月 2018
事件2018 IEEE International Conference on Agents, ICA 2018 - Singapore, Singapore
持續時間: 28 7月 201831 7月 2018

出版系列

名字Proceedings - 2018 IEEE International Conference on Agents, ICA 2018

Conference

Conference2018 IEEE International Conference on Agents, ICA 2018
國家/地區Singapore
城市Singapore
期間28/07/1831/07/18

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