High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning.
Uta PigorschSebastian SchäferPublished in: CIFEr (2022)
Keyphrases
- high dimensional
- reinforcement learning
- trading systems
- stock data
- stock trading
- market data
- stock market
- transaction costs
- stock price
- stock exchange
- financial markets
- portfolio selection
- portfolio optimization
- low dimensional
- financial information
- function approximation
- trading strategies
- investment strategies
- high dimensionality
- variable selection
- similarity search
- temporal difference
- feature space
- reinforcement learning algorithms
- machine learning
- learning process
- learning algorithm
- data points
- decision making
- high dimensional data
- multi dimensional
- state space
- parameter space
- nearest neighbor
- optimal policy
- sparse data
- electronic commerce
- supervised learning
- multi agent
- trend analysis
- portfolio management
- dimensionality reduction
- action selection
- neural network
- historical data
- sharpe ratio
- financial time series
- reward function
- model free
- short term
- markov decision processes