A Sharpe Ratio Based Reward Scheme in Deep Reinforcement Learning for Financial Trading.
Georgios RodinosParaskevi NousiNikolaos PassalisAnastasios TefasPublished in: AIAI (1) (2023)
Keyphrases
- sharpe ratio
- reinforcement learning
- portfolio optimization
- portfolio management
- trading strategies
- state space
- financial markets
- reinforcement learning algorithms
- trading systems
- markov decision processes
- portfolio selection
- multi agent
- stock market
- reward function
- foreign exchange
- stock exchange
- data mining
- decision making
- financial data
- problems involving
- stock price
- expert systems
- learning algorithm
- machine learning