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Reinforcement Learning with Expert Trajectory For Quantitative Trading

Author

Listed:
  • Sihang Chen
  • Weiqi Luo
  • Chao Yu

Abstract

In recent years, quantitative investment methods combined with artificial intelligence have attracted more and more attention from investors and researchers. Existing related methods based on the supervised learning are not very suitable for learning problems with long-term goals and delayed rewards in real futures trading. In this paper, therefore, we model the price prediction problem as a Markov decision process (MDP), and optimize it by reinforcement learning with expert trajectory. In the proposed method, we employ more than 100 short-term alpha factors instead of price, volume and several technical factors in used existing methods to describe the states of MDP. Furthermore, unlike DQN (deep Q-learning) and BC (behavior cloning) in related methods, we introduce expert experience in training stage, and consider both the expert-environment interaction and the agent-environment interaction to design the temporal difference error so that the agents are more adaptable for inevitable noise in financial data. Experimental results evaluated on share price index futures in China, including IF (CSI 300) and IC (CSI 500), show that the advantages of the proposed method compared with three typical technical analysis and two deep leaning based methods.

Suggested Citation

  • Sihang Chen & Weiqi Luo & Chao Yu, 2021. "Reinforcement Learning with Expert Trajectory For Quantitative Trading," Papers 2105.03844, arXiv.org.
  • Handle: RePEc:arx:papers:2105.03844
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    File URL: http://arxiv.org/pdf/2105.03844
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    References listed on IDEAS

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    1. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019. "Deep Reinforcement Learning for Trading," Papers 1911.10107, arXiv.org.
    2. Tony Guida, 2019. "Big Data and Machine Learning in Quantitative Investment," Post-Print hal-02298299, HAL.
    3. Fuli Feng & Huimin Chen & Xiangnan He & Ji Ding & Maosong Sun & Tat-Seng Chua, 2018. "Enhancing Stock Movement Prediction with Adversarial Training," Papers 1810.09936, arXiv.org, revised Jun 2019.
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    Cited by:

    1. Uta Pigorsch & Sebastian Schafer, 2021. "High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning," Papers 2112.04755, arXiv.org.

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