Capturing Financial markets to apply Deep Reinforcement Learning

Souradeep Chakraborty

Papers from arXiv.org

Abstract: In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In order to do this, we present a novel Markov decision process (MDP) model to capture the financial trading markets. We review and propose various modifications to existing approaches and explore different techniques like the usage of technical indicators, to succinctly capture the market dynamics to model the markets. We then go on to use deep reinforcement learning to enable the agent (the algorithm) to learn how to take profitable trades in any market on its own, while suggesting various methodology changes and leveraging the unique representation of the FMDP (financial MDP) to tackle the primary challenges faced in similar works. Through our experimentation results, we go on to show that our model could be easily extended to two very different financial markets and generates a positively robust performance in all conducted experiments.

Date: 2019-07, Revised 2019-12
New Economics Papers: this item is included in nep-big, nep-cmp, nep-fmk and nep-mst
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.04373

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