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Recently, various auxiliary tasks have been proposed to accelerate representation learning and improve sample efficiency in deep reinforcement learning (RL). However, existing auxiliary tasks do not take the characteristics of RL problems…
Machine Learning (ML) has been embraced as a powerful tool by the financial industry, with notable applications spreading in various domains including investment management. In this work, we propose a full-cycle data-driven investment…
The recent remarkable progress of deep reinforcement learning (DRL) stands on regularization of policy for stable and efficient learning. A popular method, named proximal policy optimization (PPO), has been introduced for this purpose. PPO…
As a model-free algorithm, deep reinforcement learning (DRL) agent learns and makes decisions by interacting with the environment in an unsupervised way. In recent years, DRL algorithms have been widely applied by scholars for portfolio…
Building a good predictive model requires an array of activities such as data imputation, feature transformations, estimator selection, hyper-parameter search and ensemble construction. Given the large, complex and heterogenous space of…
Deep reinforcement learning (DRL) has been proven its efficiency in capturing users' dynamic interests in recent literature. However, training a DRL agent is challenging, because of the sparse environment in recommender systems (RS), DRL…
Deep Reinforcement Learning (DRL) is a trending field of research, showing great promise in challenging problems such as playing Atari, solving Go and controlling robots. While DRL agents perform well in practice we are still lacking the…
This letter investigates a sum rate maximizationproblem in an intelligent reflective surface (IRS) assisted non-orthogonal multiple access (NOMA) downlink network. Specif-ically, the sum rate of all the users is maximized by…
We analyze a fixed-point algorithm for reinforcement learning (RL) of optimal portfolio mean-variance preferences in the setting of multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) with a small penalty on…
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)),…
In this paper, we discuss the Dutch power market, which is comprised of a day-ahead market and an intraday balancing market that operates like an auction. Due to fluctuations in power supply and demand, there is often an imbalance that…
Portfolio management is the art and science in fiance that concerns continuous reallocation of funds and assets across financial instruments to meet the desired returns to risk profile. Deep reinforcement learning (RL) has gained increasing…
It is a difficult task for both professional investors and individual traders continuously making profit in stock market. With the development of computer science and deep reinforcement learning, Buy\&Hold (B\&H) has been oversteped by many…
Stock trading is one of the popular ways for financial management. However, the market and the environment of economy is unstable and usually not predictable. Furthermore, engaging in stock trading requires time and effort to analyze,…
Deep reinforcement learning (DRL) is a promising way to achieve human-like autonomous driving. However, the low sample efficiency and difficulty of designing reward functions for DRL would hinder its applications in practice. In light of…
Deep Reinforcement Learning (DRL) has achieved great success in solving complicated decision-making problems. Despite the successes, DRL is frequently criticized for many reasons, e.g., data inefficient, inflexible and intractable reward…
Deep reinforcement learning (DRL) has been used to learn effective heuristics for solving complex combinatorial optimisation problem via policy networks and have demonstrated promising performance. Existing works have focused on solving…
Deep Reinforcement Learning (DRL) provides a general-purpose methodology for training inventory policies that can leverage big data and compute. However, off-the-shelf implementations of DRL have seen mixed success, often plagued by high…
This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by showing the difference between using delta hedging and…
Energy arbitrage is one of the most profitable sources of income for battery operators, generating revenues by buying and selling electricity at different prices. Forecasting these revenues is challenging due to the inherent uncertainty of…