An application of deep reinforcement learning to algorithmic trading

•Reinforcement learning (RL) formalization of the algorithmic trading problem.•Novel trading strategy based on deep reinforcement learning (DRL), denominated TDQN.•Rigorous performance assessment methodology for algorithmic trading.•TDQN algorithm delivers promising results surpassing benchmark stra...

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Bibliographic Details
Published in:	Expert systems with applications Vol. 173; p. 114632
Main Authors:	Théate, Thibaut, Ernst, Damien
Format:	Journal Article
Language:	English
Published:	New York Elsevier Ltd 01.07.2021 Elsevier BV Elsevier
Subjects:	Algorithmic trading Algorithms Artificial intelligence Business & economic sciences Computer science Deep learning Deep reinforcement learning Engineering, computing & technology Finance Ingénierie, informatique & technologie Machine learning Performance assessment Program trading Sciences informatiques Sciences économiques & de gestion Scientific papers Securities markets Stock exchanges Trading policy Algorithmic trading Trading policy Deep reinforcement learning Artificial intelligence
ISSN:	0957-4174, 1873-6793, 1873-6793
Online Access:	Get full text
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