基于深度强化学习的金融交易算法研究

交易策略在金融资产交易中具有十分重要的作用,如何在复杂动态金融市场中自动化选择交易策略是现代金融重要研究方向.强化学习算法通过与实际环境交互作用,寻找最优动态交易策略,最大化获取收益.提出了一个融合了CNN与LSTM的端到端深度强化学习自动化交易算法,CNN模块感知股票动态市场条件以及抽取动态特征,LSTM模块循环学习...

Research on Financial Trading Algorithm Based on Deep Reinforcement Learning

Trading strategy plays a very important role in automated stock trading. How to select trading strategy in the complex and dynamic financial market is an important research direction of modern finance program trading. Reinforcement learning algorithm is to find the optimal dynamic trading strategy via interaction with the actual environment and maximize the benefits. This paper proposes a mixed CNN with LSTM end-to-end deep reinforcement learning automated trading algorithm, CNN module perceives stock dynamic market environments and dynamically extracts features, LSTM module learns dynamic time sequence rules, the eventually profits are accumulated through the deep reinforcement learning which interacts with the unknown environment, and trading strategies are made finally. Experiments on real stock data show that this method is significantly better than the benchmark method, with better scalability and robustness.