Trading ETFs with Deep Q-Learning Algorithm

被引：0

作者：

Hong, Shao-Yan ^{[1
]}

Liu, Chien-Hung ^{[1
]}

Chen, Woei-Kae ^{[1
]}

You, Shingchern D. ^{[1
]}

机构：

[1] Natl Taipei Univ Technol, Taipei, Taiwan

来源：

2020 IEEE INTERNATIONAL CONFERENCE ON CONSUMER ELECTRONICS - TAIWAN (ICCE-TAIWAN) | 2020年

关键词：

D O I：

10.1109/icce-taiwan49838.2020.9258131

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper reports the use of double deep Q-learning (DDQN) for trading exchange-traded funds (ETFs). When compared with the buy-and-hold strategy, the proposed approach has better return in a downtrend market and comparable return in a sideways market. The buy-and-hold has some advantage in an uptrend market.

引用

下载

页数：2

共 50 条

[1] Deep Reinforcement Learning: From Q-Learning to Deep Q-Learning
Tan, Fuxiao
Yan, Pengfei
Guan, Xinping
NEURAL INFORMATION PROCESSING (ICONIP 2017), PT IV, 2017, 10637 : 475 - 483
[2] Trend following deep Q-Learning strategy for stock trading
Chakole, Jagdish
Kurhekar, Manish
EXPERT SYSTEMS, 2020, 37 (04)
[3] Trading Strategy of the Cryptocurrency Market Based on Deep Q-Learning Agents
Huang, Chester S. J.
Su, Yu-Sheng
APPLIED ARTIFICIAL INTELLIGENCE, 2024, 38 (01)
[4] An intelligent financial portfolio trading strategy using deep Q-learning
Park, Hyungjun
Sim, Min Kyu
Choi, Dong Gu
EXPERT SYSTEMS WITH APPLICATIONS, 2020, 158 (158)
[5] Backward Q-learning: The combination of Sarsa algorithm and Q-learning
Wang, Yin-Hao
Li, Tzuu-Hseng S.
Lin, Chih-Jui
ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE, 2013, 26 (09) : 2184 - 2193
[6] A deep Q-learning based algorithmic trading system for commodity futures markets
Massahi, Mahdi
Mahootchi, Masoud
EXPERT SYSTEMS WITH APPLICATIONS, 2024, 237
[7] Network Selection Algorithm Based on Improved Deep Q-Learning
Ma Bin
Chen Haibo
Zhang Chao
JOURNAL OF ELECTRONICS & INFORMATION TECHNOLOGY, 2022, 44 (01) : 346 - 353
[8] Constrained Deep Q-Learning Gradually Approaching Ordinary Q-Learning
Ohnishi, Shota
Uchibe, Eiji
Yamaguchi, Yotaro
Nakanishi, Kosuke
Yasui, Yuji
Ishii, Shin
FRONTIERS IN NEUROROBOTICS, 2019, 13
[9] Algorithmic Forex Trading Using Q-learning
Zahrah, Hasna Haifa
Tirtawangsa, Jimmy
ARTIFICIAL INTELLIGENCE APPLICATIONS AND INNOVATIONS, AIAI 2023, PT I, 2023, 675 : 24 - 35
[10] The Improved Algorithm of Deep Q-learning Network Based on Eligibility Trace
Liu, Bingyan
Ye, Xiongbing
Zhou, Chifei
Liu, Yijing
Zhang, Qiyang
Dong, Fang
2020 6TH INTERNATIONAL CONFERENCE ON CONTROL, AUTOMATION AND ROBOTICS (ICCAR), 2020, : 230 - 235

← 1 2 3 4 5 →