Mastering Pair Trading with Risk-Aware Recurrent Reinforcement Learning.
Weiguang HanJimin HuangQianqian XieBoyi ZhangYanzhao LaiMin PengPublished in: CoRR (2023)
Keyphrases
- reinforcement learning
- state space
- function approximation
- risk management
- pairwise
- financial markets
- electronic commerce
- recurrent neural networks
- high risk
- reinforcement learning algorithms
- learning algorithm
- state action
- risk factors
- risk assessment
- early warning
- multi unit combinatorial auctions
- risk measures
- machine learning
- feed forward
- risk analysis
- model free
- dynamic programming
- optimal policy
- trading strategies
- markov decision processes
- stock data
- electricity markets
- artificial neural networks
- multi agent
- trading systems
- risk averse
- investment strategies
- financial information
- robotic control
- optimal control