Practical Deep Reinforcement Learning Approach for Stock Trading

11/19/2018
by   Zhuoran Xiong, et al.
16

Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. 30 stocks are selected as our trading stocks and their daily prices are used as the training and trading market environment. We train a deep reinforcement learning agent and obtain an adaptive trading strategy. The agent's performance is evaluated and compared with Dow Jones Industrial Average and the traditional min-variance portfolio allocation strategy. The proposed deep reinforcement learning approach is shown to outperform the two baselines in terms of both the Sharpe ratio and cumulative returns.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
12/06/2022

A Novel Deep Reinforcement Learning Based Automated Stock Trading System Using Cascaded LSTM Networks

More and more stock trading strategies are constructed using deep reinfo...
research
04/07/2020

An Application of Deep Reinforcement Learning to Algorithmic Trading

This scientific research paper presents an innovative approach based on ...
research
06/06/2023

Agent Performing Autonomous Stock Trading under Good and Bad Situations

Stock trading is one of the popular ways for financial management. Howev...
research
06/24/2019

Multi-Agent Deep Reinforcement Learning for Liquidation Strategy Analysis

Liquidation is the process of selling a large number of shares of one st...
research
12/09/2021

High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning

This paper proposes a Deep Reinforcement Learning algorithm for financia...
research
05/08/2021

MCTG:Multi-frequency continuous-share trading algorithm with GARCH based on deep reinforcement learning

Making profits in stock market is a challenging task for both profession...
research
01/07/2018

Trading the Twitter Sentiment with Reinforcement Learning

This paper is to explore the possibility to use alternative data and art...

Please sign up or login with your details

Forgot password? Click here to reset