EconPapers    
Economics at your fingertips  
 

Comparing RL Approaches for Applications to Financial Trading Systems

Marco Corazza (), Giovanni Fasano (), Riccardo Gusso and Raffaele Pesenti ()
Additional contact information
Giovanni Fasano: Ca’ Foscari University of Venice
Raffaele Pesenti: Ca’ Foscari University of Venice

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 145-151 from Springer

Abstract: Abstract In this paper we present and implement different Reinforcement Learning (RL) algorithms in financial trading systems. RL-based approaches aim to find an optimal policy, that is an optimal mapping between the variables describing an environment state and the actions available to an agent, by interacting with the environment itself in order to maximize a cumulative return. In particular, we compare the results obtained considering different on-policy (SARSA) and off-policy (Q-Learning, Greedy-GQ) RL algorithms applied to daily trading in the Italian stock market. We both consider computational issues and investigate practical solutions applications, in an effort to improve previous results while keeping a simple and understandable structure of the used models.

Keywords: Reinforcement learning; Financial trading systems; Sharpe and Calmar ratios (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_22

Ordering information: This item can be ordered from
http://www.springer.com/9783030789657

DOI: 10.1007/978-3-030-78965-7_22

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-31
Handle: RePEc:spr:sprchp:978-3-030-78965-7_22