Modelling Stock-market Investors as Reinforcement Learning Agents [Correction]
Abstract
Decision making in uncertain and risky environments is a prominent area of research. Standard economic theories fail to fully explain human behaviour, while a potentially promising alternative may lie in the direction of Reinforcement Learning (RL) theory. We analyse data for 46 players extracted from a financial market online game and test whether Reinforcement Learning (Q-Learning) could capture these players behaviour using a risk measure based on financial modeling. Moreover we test an earlier hypothesis that players are "na\"ive" (short-sighted). Our results indicate that a simple Reinforcement Learning model which considers only the selling component of the task captures the decision-making process for a subset of players but this is not sufficient to draw any conclusion on the population. We also find that there is not a significant improvement of fitting of the players when using a full RL model against a myopic version, where only immediate reward is valued by the players. This indicates that players, if using a Reinforcement Learning approach, do so na\"ively
Keywords
Cite
@article{arxiv.1609.06086,
title = {Modelling Stock-market Investors as Reinforcement Learning Agents [Correction]},
author = {Alvin Pastore and Umberto Esposito and Eleni Vasilaki},
journal= {arXiv preprint arXiv:1609.06086},
year = {2016}
}
Comments
8 pages (including bibliography and appendix), 5 figures (2 in main body, 3 in appendix). IEEE EAIS 2015 Conference paper erratum