Structural break-aware pairs trading strategy using deep reinforcement learning.
Jing-You LuHsu-Chao LaiWen-Yueh ShihYi-Feng ChenShen-Hang HuangHao-Han ChangJun-Zhe WangJiun-Long HuangTian-Shyr DaiPublished in: J. Supercomput. (2022)
Keyphrases
- reinforcement learning
- function approximation
- pairwise
- structural information
- model free
- multi agent
- optimal policy
- databases
- optimal control
- markov decision processes
- temporal difference learning
- state space
- mobile robot
- deep learning
- learning algorithm
- action selection
- structural analysis
- real robot
- reinforcement learning algorithms
- direct policy search
- learning classifier systems
- learning problems
- transfer learning
- dynamic programming
- learning process
- case study
- neural network