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Minh Tran, Duc Pham-Hi and Marc Bui
In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes the development of a learning environment, state representation, reward fun...
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Minseok Kong and Jungmin So
There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL agents and make an ensemble with three different actor?critic algorithms: Advant...
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Ivan Cherednik
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It ...
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M.A.H. Dempster and V. Leemans
Pág. 543 - 552
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