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Developing Actionable Trading Strategies for Trading Agents

Chengqi Zhang
<span title="">2009</span> <i title="IEEE"> 2009 IEEE/WIC/ACM International Joint Conference on Web Intelligence and Intelligent Agent Technology </i> &nbsp;
Trading agents are very useful for developing and backtesting quality trading strategies for actions taking in the real world.  ...  As a result, the actionable capability of developed trading strategies is often limited. In this paper, we analyze such constraints on developing actionable trading strategies for trading agents.  ...  In this paper, we have developed actionable trading strategies for trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iat.2009.381">doi:10.1109/wi-iat.2009.381</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/5vcb2b5ctvbrlpaalhagvy4ahm">fatcat:5vcb2b5ctvbrlpaalhagvy4ahm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20140213225112/http://www-staff.it.uts.edu.au/~lbcao/publication/iat07-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/02/43/02437fc2f6021d769a41c41ddeb1ceb41b0a503e.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iat.2009.381"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Developing Actionable Trading Strategies for Trading Agents

Longbing Cao, Chao Luo, Chengqi Zhang
<span title="">2007</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/wl6t75bdqrdlrgsukwo2coosly" style="color: black;">2007 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT&#39;07)</a> </i> &nbsp;
Trading agents are very useful for developing and backtesting quality trading strategies for actions taking in the real world.  ...  As a result, the actionable capability of developed trading strategies is often limited. In this paper, we analyze such constraints on developing actionable trading strategies for trading agents.  ...  In this paper, we have developed actionable trading strategies for trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/iat.2007.16">doi:10.1109/iat.2007.16</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/iat/CaoLZ07.html">dblp:conf/iat/CaoLZ07</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/jda34y2vgndcjfw5jycmnedwkm">fatcat:jda34y2vgndcjfw5jycmnedwkm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20140213225112/http://www-staff.it.uts.edu.au/~lbcao/publication/iat07-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/02/43/02437fc2f6021d769a41c41ddeb1ceb41b0a503e.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/iat.2007.16"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Developing Actionable Trading Strategies for Trading Agents

Chengqi Zhang
<span title="">2009</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/3p37zxdckrfqna7l5w5hlafps4" style="color: black;">2009 IEEE/WIC/ACM International Joint Conference on Web Intelligence and Intelligent Agent Technology</a> </i> &nbsp;
Trading agents are very useful for developing and backtesting quality trading strategies for actions taking in the real world.  ...  As a result, the actionable capability of developed trading strategies is often limited. In this paper, we analyze such constraints on developing actionable trading strategies for trading agents.  ...  In this paper, we have developed actionable trading strategies for trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iat.2009.374">doi:10.1109/wi-iat.2009.374</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/webi/Zhang09.html">dblp:conf/webi/Zhang09</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/rjzipgvqsjgwviogqk2bpzhp4q">fatcat:rjzipgvqsjgwviogqk2bpzhp4q</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20140213225112/http://www-staff.it.uts.edu.au/~lbcao/publication/iat07-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/02/43/02437fc2f6021d769a41c41ddeb1ceb41b0a503e.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iat.2009.374"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Developing actionable trading agents

Longbing Cao, Tony He
<span title="2008-10-10">2008</span> <i title="Springer Nature"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/eiwbm5rd75c6rd44ak254zrpdy" style="color: black;">Knowledge and Information Systems</a> </i> &nbsp;
Trading agents are useful for developing and back-testing quality trading strategies to support smart trading actions in the market.  ...  Positions associated with these optimal strategies are recommended for trading agents to take actions in the market.  ...  In this paper, we have demonstrated approaches to developing actionable trading strategies for trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s10115-008-0170-2">doi:10.1007/s10115-008-0170-2</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/joezwzukfjbizab5jfs4fe6u4e">fatcat:joezwzukfjbizab5jfs4fe6u4e</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20140213225027/http://www-staff.it.uts.edu.au/~lbcao/publication/kais09-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/be/06/be06bc4dc5e1e2e0dd1b22e6d1c33decd5838409.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s10115-008-0170-2"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>

A Transactional Relationship Visualization System in Internet Auctions

Masao Kobayashi, Takayuki Ito
<span title="">2007</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/wl6t75bdqrdlrgsukwo2coosly" style="color: black;">2007 IEEE/WIC/ACM International Conference on Intelligent Agent Technology (IAT&#39;07)</a> </i> &nbsp;
 Key points  Domain Knowledge is a key to developing actionable Trading Agent  Individual Smart trading strategy is important  Trading strategy integration  This talk will focus on how to develop  ...  actionable trading strategies  ...  Golden trading agents negotiate for the local best  Coordinator agent monitors for global best  Coordinator agent selects and aggregates positions for all golden strategies  Collaborative agent trades  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/iat.2007.47">doi:10.1109/iat.2007.47</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/iat/KobayashiI07.html">dblp:conf/iat/KobayashiI07</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/q7j7ux37wnc47eg4jzclpnn6km">fatcat:q7j7ux37wnc47eg4jzclpnn6km</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170811103936/http://www.wi-iat09.disco.unimib.it/WI09/WI-IAT.2009-09-16.Zhang.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ac/d3/acd3c2d4ea284da26a00ef5cac5089408ef49221.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/iat.2007.47"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Multi-strategy Integration for Actionable Trading Agents

Longbing Cao
<span title="">2007</span> <i title="IEEE"> 2007 IEEE/WIC/ACM International Conferences on Web Intelligence and Intelligent Agent Technology - Workshops </i> &nbsp;
Trading agents are very useful for developing and back-testing quality trading strategies to support smart trading actions in the market.  ...  Therefore, the actionable capability of developed trading agents is often very limited.  ...  We use financial trading agents for stock trading to illustrate the development of multi-strategy integration and actionable trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iatw.2007.13">doi:10.1109/wi-iatw.2007.13</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/hhnbsj4ggbcsvj6qwyioznyzwa">fatcat:hhnbsj4ggbcsvj6qwyioznyzwa</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170301102510/http://www-staff.it.uts.edu.au/~lbcao/publication/wiiatw07-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/7c/a0/7ca0419325074ea9838c4e00a7b530ffb4195bfb.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wi-iatw.2007.13"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Multi-strategy Integration for Actionable Trading Agents

Longbing Cao
<span title="">2007</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/wl6t75bdqrdlrgsukwo2coosly" style="color: black;">2007 IEEE/WIC/ACM International Conferences on Web Intelligence and Intelligent Agent Technology - Workshops</a> </i> &nbsp;
Trading agents are very useful for developing and back-testing quality trading strategies to support smart trading actions in the market.  ...  Therefore, the actionable capability of developed trading agents is often very limited.  ...  We use financial trading agents for stock trading to illustrate the development of multi-strategy integration and actionable trading agents.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wiiatw.2007.4427634">doi:10.1109/wiiatw.2007.4427634</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/iat/Cao07.html">dblp:conf/iat/Cao07</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ohne4c6wnrb4jgz7p4p3whixea">fatcat:ohne4c6wnrb4jgz7p4p3whixea</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170301102510/http://www-staff.it.uts.edu.au/~lbcao/publication/wiiatw07-cao.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/7c/a0/7ca0419325074ea9838c4e00a7b530ffb4195bfb.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/wiiatw.2007.4427634"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

An intelligent financial portfolio trading strategy using deep Q-learning [article]

Hyungjun Park, and Min Kyu Sim, Dong Gu Choi
<span title="2019-11-28">2019</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
Second, by overcoming the dimensionality problem, this study establishes models of agent and Q-network for deriving a multi-asset trading strategy in the predefined action space.  ...  This study proposes a novel portfolio trading strategy in which an intelligent agent is trained to identify an optimal trading action by using deep Q-learning.  ...  Thus, we apply a domain knowledge rule to develop a trading strategy with an infeasible action mapping constraint.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1907.03665v4">arXiv:1907.03665v4</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/4qwmbs6gmrcqndnfrwucdw65mm">fatcat:4qwmbs6gmrcqndnfrwucdw65mm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200909013737/https://arxiv.org/pdf/1907.03665v4.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/40/3a/403a3b4c9684d1651b55de464fad1bf1f1987cd6.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1907.03665v4" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance [article]

Xiao-Yang Liu, Hongyang Yang, Qian Chen, Runjia Zhang, Liuqing Yang, Bowen Xiao, Christina Dan Wang
<span title="2022-03-02">2022</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
However, to train a practical DRL trading agent that decides where to trade, at what price, and what quantity involves error-prone and arduous development and debugging.  ...  In this paper, we introduce a DRL library FinRL that facilitates beginners to expose themselves to quantitative finance and to develop their own stock trading strategies.  ...  In this paper, we present a three-layered FinRL library that streamlines the development stock trading strategies.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2011.09607v2">arXiv:2011.09607v2</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/czgqejetifb6flxm3azaej6ily">fatcat:czgqejetifb6flxm3azaej6ily</a> </span>
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Intelligent Algorithmic Trading Strategy using Reinforcement Learning and Directional Change

Monira Aloud, Nora Alkhamees
<span title="">2021</span> <i title="Institute of Electrical and Electronics Engineers (IEEE)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/q7qi7j4ckfac7ehf3mjbso4hne" style="color: black;">IEEE Access</a> </i> &nbsp;
Determining a specific trading rule for trading at a particular time is a critical research problem in financial market trading.  ...  We evaluated the DCRL trading strategy on real stock market data (S&P500, NASDAQ, and Dow Jones, for five years period from 2015-2020), and the results demonstrate that the DCRL state representation policies  ...  They alone are responsible for the content and writing of the article.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/access.2021.3105259">doi:10.1109/access.2021.3105259</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/t2uy5comkffpljofjf3jmauxaa">fatcat:t2uy5comkffpljofjf3jmauxaa</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20211005073532/https://ieeexplore.ieee.org/ielx7/6287639/9312710/09514595.pdf?tp=&amp;arnumber=9514595&amp;isnumber=9312710&amp;ref=" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/63/3c/633c6e14d883b9f82c3948564cd2ab4b17de30f5.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/access.2021.3105259"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> ieee.com </button> </a>

Optimizing UCT for Settlers of Catan

Gabriel de Arruda Rubin de Lima, Bruno Fortes Paz, Felipe Rech Meneguzzi
<span title="">2017</span> <i title="IEEE"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/6dp3dzlqc5gkhercrq23224pl4" style="color: black;">2017 16th Brazilian Symposium on Computer Games and Digital Entertainment (SBGames)</a> </i> &nbsp;
Specifically, we develop a move pruning heuristic for this game and introduce the ability to trade with the other players using the UCT algorithm.  ...  We empirically compare our new player with a baseline agent for Settlers of Catan as well as the state of the art and show that our algorithm generates superior strategies while taking fewer samples of  ...  Newly developed techniques [12] have significantly improved the performance of an AI in the classic Chinese game Go, bringing new possibilities for the development of competitive agents for Eurogames  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/sbgames.2017.00026">doi:10.1109/sbgames.2017.00026</a> <a target="_blank" rel="external noopener" href="https://dblp.org/rec/conf/sbgames/LimaPM17.html">dblp:conf/sbgames/LimaPM17</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ywrg46iv5fanlkq5phdjnfd4pu">fatcat:ywrg46iv5fanlkq5phdjnfd4pu</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190218173713/http://pdfs.semanticscholar.org/0ef6/7eac64e0d7ee2d68abf3976751940616aab9.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/0e/f6/0ef67eac64e0d7ee2d68abf3976751940616aab9.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/sbgames.2017.00026"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Recommending Cryptocurrency Trading Points with Deep Reinforcement Learning Approach

Otabek Sattarov, Azamjon Muminov, Cheol Won Lee, Hyun Kyu Kang, Ryumduck Oh, Junho Ahn, Hyung Jun Oh, Heung Seok Jeon
<span title="2020-02-22">2020</span> <i title="MDPI AG"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/smrngspzhzce7dy6ofycrfxbim" style="color: black;">Applied Sciences</a> </i> &nbsp;
The economy scientists, following their research, have suggested several strategies and indicating factors that serve to find the best option for trading in a stock market.  ...  However, several investors' capital decreased when they tried to trade the basis of the recommendation of these strategies.  ...  Swing trading is a middle of the road investment strategy and should be considered when developing a personal approach.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/app10041506">doi:10.3390/app10041506</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/r6pysynusbdzpkhmcaczx2ihay">fatcat:r6pysynusbdzpkhmcaczx2ihay</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200226022326/https://res.mdpi.com/d_attachment/applsci/applsci-10-01506/article_deploy/applsci-10-01506.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/28/c2/28c2e91e2a6ab6060fbf58a6743b89b7a3cbb982.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/app10041506"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> mdpi.com </button> </a>

Multi-Agent Reinforcement Learning in a Realistic Limit Order Book Market Simulation [article]

Michaël Karpe, Jin Fang, Zhongyao Ma, Chen Wang
<span title="2020-06-10">2020</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
However, complex and unknown market dynamics pose enormous challenges for the development and validation of optimal execution strategies.  ...  In some scenarios, our RL agent converges towards a Time-Weighted Average Price (TWAP) strategy.  ...  ACKNOWLEDGMENTS We would like to thank Xin Guo and Yusuke Kikuchi for their helpful comments during the realization of this work.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2006.05574v1">arXiv:2006.05574v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/kectpjui4vctnjvj2lm6qfvv4u">fatcat:kectpjui4vctnjvj2lm6qfvv4u</a> </span>
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Fairness in Multi-agent Reinforcement Learning for Stock Trading [article]

Wenhang Bao
<span title="2019-12-14">2019</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
Secondly, we show that the Multi-agent RL system allows developing trading strategies for all clients individually, thus optimizing individual revenue.  ...  In this paper, we propose a novel scheme that utilizes multi-agent reinforcement learning systems to derive stock trading strategies for all clients which keep a balance between revenue and fairness.  ...  Introduction Developing the right stock trading strategies for the clients is a fundamental function of investment banks.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2001.00918v1">arXiv:2001.00918v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/4sb7z3n3h5hr5hzubgcwghtxyq">fatcat:4sb7z3n3h5hr5hzubgcwghtxyq</a> </span>
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Contracts for Difference: A Reinforcement Learning Approach

Nico Zengeler, Uwe Handmann
<span title="2020-04-17">2020</span> <i title="MDPI AG"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/6lgjjxyslvc5dad6vnqucsvtbi" style="color: black;">Journal of Risk and Financial Management</a> </i> &nbsp;
We present a deep reinforcement learning framework for an automatic trading of contracts for difference (CfD) on indices at a high frequency.  ...  lucrative trading policy.  ...  To determine a reward for the agent action, the environment evaluates the trade action on historical market data and returns the financial profit or loss.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/jrfm13040078">doi:10.3390/jrfm13040078</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/agjgzg457fhdzdv3yxpvlmi5p4">fatcat:agjgzg457fhdzdv3yxpvlmi5p4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200508210135/https://res.mdpi.com/d_attachment/jrfm/jrfm-13-00078/article_deploy/jrfm-13-00078-v2.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/9b/04/9b04d9fe5200547f14ba112ac34c39c90fdca284.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/jrfm13040078"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> mdpi.com </button> </a>
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