Journal ArticleDOI
Deep Direct Reinforcement Learning for Financial Signal Representation and Trading
TLDR
This work introduces a recurrent deep neural network for real-time financial signal representation and trading and proposes a task-aware backpropagation through time method to cope with the gradient vanishing issue in deep training.Abstract:
Can we train the computer to beat experienced traders for financial assert trading? In this paper, we try to address this challenge by introducing a recurrent deep neural network (NN) for real-time financial signal representation and trading. Our model is inspired by two biological-related learning concepts of deep learning (DL) and reinforcement learning (RL). In the framework, the DL part automatically senses the dynamic market condition for informative feature learning. Then, the RL module interacts with deep representations and makes trading decisions to accumulate the ultimate rewards in an unknown environment. The learning system is implemented in a complex NN that exhibits both the deep and recurrent structures. Hence, we propose a task-aware backpropagation through time method to cope with the gradient vanishing issue in deep training. The robustness of the neural system is verified on both the stock and the commodity future markets under broad testing conditions.read more
Citations
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Journal ArticleDOI
State-of-the-art in artificial neural network applications: A survey
Oludare Isaac Abiodun,Oludare Isaac Abiodun,Aman Jantan,Abiodun Esther Omolara,Kemi Victoria Dada,Nachaat AbdElatif Mohamed,Humaira Arshad +6 more
TL;DR: The study found that neural-network models such as feedforward and feedback propagation artificial neural networks are performing better in its application to human problems and proposed feedforwardand feedback propagation ANN models for research focus based on data analysis factors like accuracy, processing speed, latency, fault tolerance, volume, scalability, convergence, and performance.
Posted Content
Deep Reinforcement Learning: An Overview
TL;DR: This work discusses core RL elements, including value function, in particular, Deep Q-Network (DQN), policy, reward, model, planning, and exploration, and important mechanisms for RL, including attention and memory, unsupervised learning, transfer learning, multi-agent RL, hierarchical RL, and learning to learn.
Journal ArticleDOI
Financial time series forecasting with deep learning : A systematic literature review: 2005–2019
TL;DR: A comprehensive literature review on DL studies for financial time series forecasting implementations and grouped them based on their DL model choices, such as Convolutional Neural Networks (CNNs), Deep Belief Networks (DBNs), Long-Short Term Memory (LSTM).
Posted Content
A Study on Overfitting in Deep Reinforcement Learning
TL;DR: This paper conducts a systematic study of standard RL agents and finds that they could overfit in various ways and calls for more principled and careful evaluation protocols in RL.
Journal ArticleDOI
Deep learning-based feature engineering for stock price movement prediction
Wen Long,Zhichen Lu,Lingxiao Cui +2 more
TL;DR: Experimental results show that the proposed novel end-to-end multi-filters neural network outperforms traditional machine learning models, statistical models, and single-structure networks in terms of the accuracy, profitability, and stability.
References
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Reinforcement Learning: An Introduction
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Human-level control through deep reinforcement learning
Volodymyr Mnih,Koray Kavukcuoglu,David Silver,Andrei Rusu,Joel Veness,Marc G. Bellemare,Alex Graves,Martin Riedmiller,Andreas K. Fidjeland,Georg Ostrovski,Stig Petersen,Charles Beattie,Amir Sadik,Ioannis Antonoglou,Helen King,Dharshan Kumaran,Daan Wierstra,Shane Legg,Demis Hassabis +18 more
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TL;DR: New developments in the science of learning as mentioned in this paper overview mind and brain how experts differ from novices how children learn learning and transfer the learning environment curriculum, instruction and commnity effective teaching.
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Markov Decision Processes: Discrete Stochastic Dynamic Programming
TL;DR: Puterman as discussed by the authors provides a uniquely up-to-date, unified, and rigorous treatment of the theoretical, computational, and applied research on Markov decision process models, focusing primarily on infinite horizon discrete time models and models with discrete time spaces while also examining models with arbitrary state spaces, finite horizon models, and continuous time discrete state models.
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