Learning to trade via direct reinforcement

@article{Moody2001LearningTT,
  title={Learning to trade via direct reinforcement},
  author={John E. Moody and Matthew Saffell},
  journal={IEEE transactions on neural networks},
  year={2001},
  volume={12 4},
  pages={875-89}
}
We present methods for optimizing portfolios, asset allocations, and trading systems based on direct reinforcement (DR). In this approach, investment decision-making is viewed as a stochastic control problem, and strategies are discovered directly. We present an adaptive algorithm called recurrent reinforcement learning (RRL) for discovering investment… CONTINUE READING