Abstract
This paper presents a reinforcement learning framework for stock trading systems. Trading system parameters are optimized by Qlearning algorithm and neural networks are adopted for value approximation. In this framework, cooperative multiple agents are used to efficiently integrate global trend prediction and local trading strategy for obtaining better trading performance. Agents communicate with others sharing training episodes and learned policies, while keeping the overall scheme of conventional Q-learning. Experimental results on KOSPI 200 show that a trading system based on the proposed framework outperforms the market average and makes appreciable profits. Furthermore, in view of risk management, the system is superior to a system trained by supervised learning.
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Lee, J.W., O, J. (2002). A Multi-agent Q-learning Framework for Optimizing Stock Trading Systems. In: Hameurlain, A., Cicchetti, R., Traunmüller, R. (eds) Database and Expert Systems Applications. DEXA 2002. Lecture Notes in Computer Science, vol 2453. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-46146-9_16
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DOI: https://doi.org/10.1007/3-540-46146-9_16
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