Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-22850
Publication type: Working paper – expertise – study
Title: Deep reinforcement learning on a multi-asset environment for trading
Authors: Hirsa, Ali
Osterrieder, Jörg
Hadji Misheva, Branka
Posth, Jan-Alexander
et. al: No
DOI: 10.21256/zhaw-22850
Extent: 18
Issue Date: 2021
Publisher / Ed. Institution: arXiv
Other identifiers: arXiv:2106.08437v1
Language: English
Subjects: Deep reinforcement learning; Deep Q-network; Financial trading; Future
Subject (DDC): 006: Special computer methods
332.6: Investment
Abstract: Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its benefit in the financial markets. We use a deep Q-network (DQN) to design long-short trading strategies for futures contracts. The state space consists of volatility-normalized daily returns, with buying or selling being the reinforcement learning action and the total reward defined as the cumulative profits from our actions. Our trading strategy is trained and tested both on real and simulated price series and we compare the results with an index benchmark. We analyze how training based on a combination of artificial data and actual price series can be successfully deployed in real markets. The trained reinforcement learning agent is applied to trading the E-mini S&P 500 continuous futures contract. Our results in this study are preliminary and need further improvement.
URI: https://arxiv.org/abs/2106.08437
https://digitalcollection.zhaw.ch/handle/11475/22850
License (according to publishing contract): CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
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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