[go: up one dir, main page]

Gao et al., 2000 - Google Patents

An algorithm for trading and portfolio management using q-learning and sharpe ratio maximization

Gao et al., 2000

View PS
Document ID
8700750892482637860
Author
Gao X
Chan L
Publication year
Publication venue
Proceedings of the international conference on neural information processing

External Links

Snippet

A trading and portfolio management system called QSR is proposed. It uses Q-learning and Sharpe ratio maximization algorithm. We use absolute pro t and relative risk-adjusted pro t as performance function to train the system respectively, and employ a committee of two …
Continue reading at www.cs.cuhk.hk (PS) (other versions)

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
    • G—PHYSICS
    • G05—CONTROLLING; REGULATING
    • G05B—CONTROL OR REGULATING SYSTEMS IN GENERAL; FUNCTIONAL ELEMENTS OF SUCH SYSTEMS; MONITORING OR TESTING ARRANGEMENTS FOR SUCH SYSTEMS OR ELEMENTS
    • G05B13/00—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion
    • G05B13/02—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric
    • G05B13/0265—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric the criterion being a learning criterion
    • G05B13/027—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric the criterion being a learning criterion using neural networks only
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N3/00—Computer systems based on biological models
    • G06N3/02—Computer systems based on biological models using neural network models
    • G06N3/04—Architectures, e.g. interconnection topology
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q20/00—Payment architectures, schemes or protocols
    • G06Q20/08—Payment architectures
    • G06Q20/10—Payment architectures specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
    • G—PHYSICS
    • G05—CONTROLLING; REGULATING
    • G05B—CONTROL OR REGULATING SYSTEMS IN GENERAL; FUNCTIONAL ELEMENTS OF SUCH SYSTEMS; MONITORING OR TESTING ARRANGEMENTS FOR SUCH SYSTEMS OR ELEMENTS
    • G05B13/00—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion
    • G05B13/02—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric
    • G05B13/04—Adaptive control systems, i.e. systems automatically adjusting themselves to have a performance which is optimum according to some preassigned criterion electric involving the use of models or simulators
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance, e.g. risk analysis or pensions
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/04—Forecasting or optimisation, e.g. linear programming, "travelling salesman problem" or "cutting stock problem"

Similar Documents

Publication Publication Date Title
Gao et al. An algorithm for trading and portfolio management using q-learning and sharpe ratio maximization
Moody et al. Learning to trade via direct reinforcement
D’Amato et al. Deep learning in predicting cryptocurrency volatility
Jang et al. Deep reinforcement learning for stock portfolio optimization by connecting with modern portfolio theory
Almahdi et al. An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown
Moody et al. Performance functions and reinforcement learning for trading systems and portfolios
Yu et al. Neural network-based mean–variance–skewness model for portfolio selection
Chen et al. Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets
Kamruzzaman et al. ANN-based forecasting of foreign currency exchange rates
JP2023171598A (en) System for optimizing securities trading execution
Massahi et al. A deep Q-learning based algorithmic trading system for commodity futures markets
Fécamp et al. Risk management with machine-learning-based algorithms
Fecamp et al. Deep learning for discrete-time hedging in incomplete markets
Nayak et al. On developing and performance evaluation of adaptive second order neural network with GA-based training (ASONN-GA) for financial time series prediction
Cheng et al. Fusion ANFIS models based on multi-stock volatility causality for TAIEX forecasting
Casas Tactical asset allocation: an artificial neural network based model
Dunis et al. Neural network regression and alternative forecasting techniques for predicting financial variables
Korczak et al. Fundamental analysis in the multi-agent trading system
Puelz A stochastic convergence model for portfolio selection
Nakano et al. Robust technical trading with fuzzy knowledge-based systems
Green et al. Artificial intelligence in financial markets
Safa et al. P/E modeling and prediction of firms listed on the Tehran stock exchange; a new approach to harmony search algorithm and neural network hybridization
Li et al. Reward adjustment reinforcement learning for risk-averse asset allocation
Bao et al. A simulation-based portfolio optimization approach with least squares learning
Arenas et al. A theory of possibility approach to the solution of a fuzzy linear programming