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A wide variety of deep reinforcement learning (DRL) models have recently been proposed to learn profitable investment strategies. The rules learned by these models outperform the previous strategies specially in high frequency trading…
Deep reinforcement learning (DRL) is a well-suited approach to financial decision-making, where an agent makes decisions based on its trading strategy developed from market observations. Existing DRL intraday trading strategies mainly use…
Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper aims to investigate their tendencies towards holding or…
Classical portfolio optimization often requires forecasting asset returns and their corresponding variances in spite of the low signal-to-noise ratio provided in the financial markets. Modern deep reinforcement learning (DRL) offers a…
In many reinforcement learning applications, the underlying environment reward and transition functions are explicitly known differentiable functions. This enables us to use recent research which applies machine learning tools to stochastic…
With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
Can an agent learn efficiently in a noisy and self adapting environment with sequential, non-stationary and non-homogeneous observations? Through trading bots, we illustrate how Deep Reinforcement Learning (DRL) can tackle this challenge.…
In today's forex market traders increasingly turn to algorithmic trading, leveraging computers to seek more profits. Deep learning techniques as cutting-edge advancements in machine learning, capable of identifying patterns in financial…
Financial trading aims to build profitable strategies to make wise investment decisions in the financial market. It has attracted interests in the machine learning community for a long time. This paper proposes to trade financial assets…
Algorithmic stock trading has become a staple in today's financial market, the majority of trades being now fully automated. Deep Reinforcement Learning (DRL) agents proved to be to a force to be reckon with in many complex games like Chess…
We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy…
Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining the financial assets price "prediction" step and the…
Deep reinforcement learning (DRL) has been widely studied in the portfolio management task. However, it is challenging to understand a DRL-based trading strategy because of the black-box nature of deep neural networks. In this paper, we…
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with…
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be framed as a sequential decision problem; thus, Reinforcement…
The use of machine learning in algorithmic trading systems is increasingly common. In a typical set-up, supervised learning is used to predict the future prices of assets, and those predictions drive a simple trading and execution strategy.…
Portfolio optimization requires dynamic allocation of funds by balancing the risk and return tradeoff under dynamic market conditions. With the recent advancements in AI, Deep Reinforcement Learning (DRL) has gained prominence in providing…
This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
Deep Reinforcement Learning (Deep RL) has been explored for a number of applications in finance and stock trading. In this paper, we present a practical implementation of Deep RL for trading natural gas futures contracts. The Sharpe Ratio…