Acquiring a Government Bond Trading Strategy Using Reinforcement Learning

被引：6

作者：

Matsui, Tohgoroh ^{[1
]}

Goto, Takashi ^{[2
]}

Lzumi, Kiyoshi ^{[3
]}

机构：

[1] Tohgoroh Machine Learning Res Inst, 4-112-133-406 Nishi Hatsuishi, Chiba 2700121, Japan

[2] Bank Tokyo Mitsubishi UFJ Ltd, Chiyoda Ku, Tokyo 1006417, Japan

[3] Natl Inst Adv Ind Sci & Technol, Koto Ku, Tokyo 1350064, Japan

来源：

JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS | 2009年 / 13卷 / 06期

关键词：

machine learning; reinforcement learning; finance; trading strategy;

D O I：

10.20965/jaciii.2009.p0691

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 proposes using reinforcement learning to acquire a government bond trading strategy. We applied this method to the 10-year Japanese government bond (JGB) market and confirmed that it acquires profitable trading even in extrapolation.

引用

页码：691 / 696

页数：6

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