Publication type: Working paper – expertise – study
Title: The applicability of self-play algorithms to trading and forecasting financial markets : a feasibility study
Authors: Posth, Jan-Alexander
Hadji Misheva, Branka
Kotlarz, Piotr Kamil
Osterrieder, Jörg
Schwendner, Peter
et. al: No
Extent: 15
Issue Date: Nov-2020
Publisher / Ed. Institution: SSRN
Language: English
Subjects: Artificial intelligence; Machine learning; Financial market; Self-play; Trading
Subject (DDC): 006: Special computer methods
332: Financial economics
Abstract: The central research question to answer in this feasibility study is whether the Artificial Intelligence (AI) methodology of Self-Play can be applied to financial markets. In typical use-cases of Self-Play, two AI agents play against each other in a particular game, e.g. chess or Go. By repeatedly playing the game, they learn its rules as well as possible winning strategies. When considering financial markets, however, we usually have one player – the trader – that does not face one individual adversary but competes against a vast universe of other market participants. Furthermore, the optimal behaviour in financial markets is not described via a winning strategy, but via the objective of maximising profits while managing risks appropriately. Lastly, data issues cause additional challenges, since, in finance, they are quite often incomplete, noisy and difficult to obtain. We will show that academic research using Self-Play has mostly not focused on finance, and if it has, it was usually restricted to stock markets, not considering the large FX, commodities and bond markets. Despite those challenges, we see enormous potential of applying self-play concepts and algorithms to financial markets.
License (according to publishing contract): Licence according to publishing contract
Departement: School of Engineering
School of Management and Law
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Institute of Wealth & Asset Management (IWA)
Appears in collections:Publikationen School of Management and Law

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