arXiv:2411.07585q-fin.TRcs.AI2024-11中稿 · ICAIF 2024 FM4TS W…被引 3

用强化学习结合技术指标,提升股票交易决策能力

Reinforcement Learning Framework for Quantitative Trading

  • 设计基于技术指标的强化学习框架,区分买卖动作优劣
  • 通过历史数据验证,实现更稳定的交易策略表现
  • 为量化交易研究提供可复现的基准方法,适合金融算法研究者

金融市场固有的波动性和动态变化要求投资者采用综合且可靠的方法,整合风险管理、市场趋势及个股走势分析。尽管可通过特定数据辅助决策,但现有文献缺乏对强化学习(RL)代理在实际应用中有效性的充分证据,多数模型仅在历史数据回测中成功。这凸显了开发更先进方法的紧迫性。当前研究普遍存在对财务指标与市场趋势关联性识别不足的问题,且成功的交易策略常被保密,导致公开可查的强化学习应用案例稀缺。本研究致力于通过增强强化学习代理对正负买卖行为的区分能力,利用技术指标改进决策过程。虽未解决所有挑战,但提供了对技术指标在强化学习中应用的深入见解与讨论,构建了一个可拓展的研究基础框架。

原文摘要 · Abstract (English)

The inherent volatility and dynamic fluctuations within the financial stock market underscore the necessity for investors to employ a comprehensive and reliable approach that integrates risk management strategies, market trends, and the movement trends of individual securities. By evaluating specific data, investors can make more informed decisions. However, the current body of literature lacks substantial evidence supporting the practical efficacy of reinforcement learning (RL) agents, as many models have only demonstrated success in back testing using historical data. This highlights the urgent need for a more advanced methodology capable of addressing these challenges. There is a significant disconnect in the effective utilization of financial indicators to better understand the potential market trends of individual securities. The disclosure of successful trading strategies is often restricted within financial markets, resulting in a scarcity of widely documented and published strategies leveraging RL. Furthermore, current research frequently overlooks the identification of financial indicators correlated with various market trends and their potential advantages. This research endeavors to address these complexities by enhancing the ability of RL agents to effectively differentiate between positive and negative buy/sell actions using financial indicators. While we do not address all concerns, this paper provides deeper insights and commentary on the utilization of technical indicators and their benefits within reinforcement learning. This work establishes a foundational framework for further exploration and investigation of more complex scenarios.

强化学习量化交易技术指标

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