High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning.
Uta PigorschSebastian SchäferPublished in: CoRR (2021)
Keyphrases
- high dimensional
- reinforcement learning
- trading systems
- stock data
- stock trading
- market data
- stock market
- transaction costs
- stock exchange
- stock price
- financial markets
- investment strategies
- portfolio optimization
- financial information
- low dimensional
- reinforcement learning algorithms
- function approximation
- portfolio selection
- dimensionality reduction
- similarity search
- trading strategies
- high dimensionality
- data points
- sparse data
- machine learning
- state space
- nearest neighbor
- high dimensional data
- portfolio management
- metric space
- multi dimensional
- model free
- feature space
- markov decision processes
- parameter space
- variable selection
- financial data
- decision making
- similarity measure
- reward function
- temporal difference
- data sets
- foreign exchange
- knn
- short term
- action selection