Incorporating Markov decision process on genetic algorithms to formulate trading strategies for stock markets.
Ying-Hua ChangMing-Sheng LeePublished in: Appl. Soft Comput. (2017)
Keyphrases
- stock market
- trading strategies
- markov decision process
- state space
- optimal policy
- reinforcement learning
- markov decision processes
- short term
- trading agents
- financial markets
- infinite horizon
- stock exchange
- stock price
- financial time series
- stock returns
- portfolio optimization
- initial state
- financial data
- stock data
- trading systems
- long term
- investment strategies
- long run
- finite number
- software engineering
- dynamic programming
- garch model