Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach.
Saeid FallahpourHasan HakimianKhalil TaheriEhsan RamezanifarPublished in: Soft Comput. (2016)
Keyphrases
- reinforcement learning
- cost function
- optimization algorithm
- pairwise
- clustering method
- high accuracy
- optimization process
- optimization method
- detection method
- significant improvement
- objective function
- computational cost
- dynamic programming
- preprocessing
- synthetic data
- high precision
- constrained optimization
- similarity measure
- computational complexity
- global optimization
- policy search