Reinforcement Learning for Trading Systems and Portfolios

Proceedings of the 4th International Conference on Knowledge Discovery and Data Mining, KDD 1998

Volumn , Issue , 1998, Pages 279-283

  Moody, John ^a   Saffell, Matthew ^a  

^a OREGON HEALTH AND SCIENCE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; DATA MINING; PROFITABILITY;

CONTROLLED EXPERIMENT; FINANCIAL OBJECTIVES; OBJECTIVE FUNCTIONS; REAL-TIME RECURRENT LEARNING; REINFORCEMENT LEARNING TECHNIQUES; REINFORCEMENT LEARNINGS; SHARPE RATIOS; STOCK INDICES; TRADING SYSTEMS; VALUE FUNCTIONS;

REINFORCEMENT LEARNING;

EID: 85166288226     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

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2. Moody, J. & Wu, L. (1997), Optimization of trading systems and portfolios, in Y. Abu-Mostafa, A. N. Refenes & A. S. Weigend, eds, 'Neural Networks in the Capital Markets', World Scientific, London.
3. Moody, J., Wu, L., Liao, Y. & Saffell, M. (1998), 'Performance functions and reinforcement leeiming for trading systems and portfolios', Journal of Forecasting 17. To appear.
4. Neuneier, R. (1996), Optimeli asset eiUocation using adaptive dynamic programming, in D. S. Touretzky, M. C. Mozer & M. E. Hasselmo, eds, 'Advances in NIPS', Vol. 8, pp. 952-958.
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6. Tesauro, G. (1989), 'Neurogammon wins the computer olympiad', Neural Computation 1, 321-323.
7. Watkins, C. J. C. H. (1989), Learning with Delayed Re-weirds, PhD thesis, Cambridge University, Psychology Department.
8. Zhang, W. & Dietterich, T. G. (1996), High-performance job-shop scheduling with a time-delay td(A) network, in D. S. Touretzky, M. C. Mozer & M. E. Hasselmo, eds, 'Advances in NIPS ', Vol. 8, pp. 1024-1030.