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Reinforcement Learning for Systematic FX Trading
We conduct a detailed experiment on major cash fx pairs, accurately accounting for transaction and funding costs. These sources of profit and loss, including the price trends that occur in the currency markets, are made available to our recurrent reinforcement learner via a quadratic utility, which learns to target a position directly. We improve upon earlier work, by casting the problem of learning to target a risk position, in an online learning context. This online learning occursdoi:10.36227/techrxiv.16778932.v2 fatcat:4abfqm7rlfgu5htrbkadkwf2ii