ファイナンスへの応用

ファイナンスにおける強化学習の論文．（見つけたものを追加しています．）

取引戦略獲得 †

株式 †

• 強化学習と重要度指標を用いた遺伝的ネットワーク・プログラミングによる株式売買モデル
  間普 真吾, 平澤 宏太郎, 古月 敬之
  電気学会論文誌 C (電子・情報・システム部門誌), Vol. 127, No. 7, pp. 1061-1067 (2007)
• Short-term Stock Market Timing Prediction under Reinforcement Learning Schemes
  Hailin Li, Dagli, C.H., and Enke, D.
  ADPRL 2007, pp. 233-240 (2007)
• A Multiagent Approach to Q-Learning for Daily Stock Trading
  Jae Won Lee, Jonghun Park, Jangmin O, Jongwoo Lee, Euyseok Hong
  IEEE Transactions on Systems, Man and Cybernetics, Part A, Vol. 37, No. 6, pp. 864-877 (2007)
• Adaptive stock trading with dynamic asset allocation using reinforcement learning
  Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang
  Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (2006)
• Three Automated Stock-Trading Agents: A Comparative Study
  Alexander A. Sherstov, Peter Stone
  Proceedings of the AAMAS 2004 Workshop on Agent-Mediated Electronic Commerce (AMEC 2004), pp. 173-187 (2005)
• An Intelligent Stock Trading System Based on Reinforcement Learning
  Jae Won LEE, Sung-Dong KIM, Jongwoo LEE, Jinseok CHAE
  IEICE Transactions on Information and Systems, Vol. E86-D, No. 2, pp. 296-305 (2003)

為替 †

• An automated FX trading system using adaptive reinforcement learning
  M.A.H. Dempster and V. Leemans
  Expert Systems with Applications, Vol. 30, No. 3, pp. 543-552 (2006)
• Evolutionary reinforcement learning in FX order book and order flow analysis
  Bates, R.G.; Dempster, M.A.H.; Romahi, Y.S.
  Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, pp. 355- 362 (2003)
• FX trading via recurrent reinforcement learning
  Gold, C.
  Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, pp. 363- 370 (2003).
• Intraday FX Trading: An Evolutionary Reinforcement Learning Approach
  M. A. H. Dempster, Y. S. Romahi
  Proceedings of the 3rd International Conference on Intelligent Data Engineering and Automated Learning (IDEAL 2002), pp. 697-708 (2002)
• Computational learning techniques for intraday FX trading using popular technical indicators
  Dempster, M.A.H., Payne, T.W., Romahi, Y., and Thompson, G.W.P.
  IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 744-754 (2001)

債券 †

• Acquiring a Government Bond Trading Strategy Using Reinforcement Learning
  Tohgoroh Matsui, Takashi Goto, and Kiyoshi Izumi
  Journal of Advanced Computational Intelligence and Intelligent Informatics, Vol.13, No.6, pp. 691-696 (2009)

インデックス †

• Making Financial Trading by Recurrent Reinforcement Learning
  Francesco Bertoluzzo, Marco Corazza
  Proceedings of the 11th International Conference on Knowledge-Based Intelligent Information and Engineering Systems (KES 2007), pp. 619-626 (2007)
• Learning to Trade via Direct Reinfocement
  John Moody and Matthew Saffell
  IEEE Transactions of Neural Networks, Vol. 12, No. 4, pp. 875-889 (2001)
• Performance Functions and Reinforcement Learning for Trading Systems and Portfolios
  John Moody, Lizhong Wu, Yuansong Liao, and Matthew Saffell
  Journal of Forecasting, Vol. 17, pp. 441-470 (1998)
• Reinforcement Learning for Trading Systems and Portfolios
  John Moody and Matthew Saffell
  KDD 1998, pp. 279-283 (1998)

電力 †

• A system for electricity trading using genetic algorithm and reinforcement learning
  Hryshko, A.; Downs, T.
  Proceedings of the Australasian Universities Power Engineering Conference 2004, pp. 1-7 (2004)

注文執行最適化 †

• Reinforcement learning for optimized trade execution
  Yuriy Nevmyvaka, Yi Feng, Michael Kearns
  Proceedings of the 23rd international conference on Machine learning (ICML 2006), pp. 673-680 (2006)

資本配分，ポートフォリオ最適化 †

• A Learning Algorithm for Risk-Sensitive Cost
  Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar
  MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 880-898 (2008)
• Independent Factor Reinforcement Learning for Portfolio Management
  Jian Li, Kun Zhang, and Laiwan Chan
  IDEAL 2007, pp. 1020-1031 (2007)
• Adaptive stock trading with dynamic asset allocation using reinforcement learning
  Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang
  Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (2006)
• Reward Adjustment Reinforcement Learning for Risk-averse Asset Allocation
  Jian Li, Laiwan Chan
  IJCNN 2006, pp. 534-541 (2006)
• Optimal Asset Allocation using Reinforcement Learning: A Case Study
  Li, H., C. Dagli, and D. Enke
  Intelligent Engineering Systems through Artificial Neural Networks, Vol. 15, pp. 645-650 (2005)
• Emotional Reinforcement Learning for Portfolio Selection
  A. Abbaspour, C. Lucas
  WSEAS Transactions on Systems, 3(1), 306-309 (2004)
• Kernel-Based Reinforcement Learning in Average-Cost Problems: An Application to Optimal Portfolio Choice
  Dirk Ormoneit, Peter W. Glynn
  NIPS 2000, pp. 1068-1074 (2001)
• Variance-Penalized Reinforcement Learning for Risk-Averse Asset Allocation
  Makoto Sato and Shigenobu Kobayashi
  IDEAL 2000, pp. 333-364 (2000)
• An Algorithm for Trading and Portfolio Management Using Q-learning and Sharpe Ratio Maximization
  X. Gao, Laiwan Chan
  ICONIP 2000, pp. 576-582 (2000)

市場予測 †

• Forecasting series-based stock price data using direct reinforcement learning
  Li, H.; Dagli, C.H.; Enke, D.
  Proceedings of the 2004 IEEE International Joint Conference on Neural Networks, Vol. 2, pp. 1098-7576 (2004)

行動ファイナンス †

• Reinforcement Learning and Savings Behavior
  JAMES J. CHOI, DAVID LAIBSON, BRIGITTE C. MADRIAN, and ANDREW METRICK
  Journal of Finance, Vol. 64, No. 6, pp. 2515-2534 (2009)
• Positive and Negative Recency Effects in Retirement Savings Decisions
  Jörg Rieskamp
  Journal of Experimental Psychology: Applied, Vol. 12, No. 4, pp. 233-250 (2006)
• Reinforcement learning in the El Farol model
  Reiner Franke
  Journal of Economic Behavior & Organization, Vol. 51, No. 3, pp. 367-388 (2003).
• Learning to deal with risk: what does reinforcement learning tell us about risk attitudes?
  Albert Burgos
  Economics Bulletin, Vol. 4, No. 10 pp. 1−13 (2002)

強化学習 †

リスク回避 †

• A Learning Algorithm for Risk-Sensitive Cost
  Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar
  MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 880-898 (2008)
• Risk-Sensitive Reinforcement Learning Applied to Control under Constraints
  P. Geibel and F. Wysotzki
  JAIR, Vol. 24, pp. 81-108 (2005)
• Risk-Sensitive Reinforcement Learning
  Oliver Mihatsch and Ralph Neuneier
  Mach Learn, Vol. 49, No. 2-3, pp. 267-290 (2002)
• Evolution of Reinforcement Learning in Uncertain Environments: A Simple Explanation for Complex Foraging Behaviors
  Yael Niv, Daphna Joel, Isaac Meilijson, Eytan Ruppin
  Adaptive Behavior, Vol. 10, No. 1, pp. 5-24 (2002)
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
  V. S. Borkar, S. P. Meyn
  MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 1, pp. 192-209 (2002)
• Q-Learning for Risk-Sensitive Control
  V. S. Borkar
  MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 2, pp. 294-311 (2002)
• A sensitivity formula for risk-sensitive cost and the actor–critic algorithm
  V. S. Borkar
  Systems & Control Letters, Vol. 44, No. 5, pp. 339-346 (2001)
• Reinforcement Learning with Bounded Risk
  Peter Geibel
  ICML 2001, pp. 162-169 (2001)
• Average-Reward Reinforcement Learning for Variance Penalized Markov Decision Problems
  Makoto Sato and Shigenobu Kobayashi
  ICML 2001, pp. 473-480 (2001)
• Risk sensitive reinforcement learning
  Ralph Neuneier and Oliver Mihatsch
  NIPS 1999, pp. 1031-1037 (2000).
• An Analysis of temporal-Difference Learning with Function Approximation
  J.N. Tsitsiklis and B. Van Roy
  IEEE Trans. on Automatic Control, Vol. 42, No. 5, pp. 674-690 (1997)
• Consideration of Risk in Reinforcement Learning
  Matthias Heger
  ICML 1994, pp. 105-111 (1994).

解説 †

• 強化学習を用いた金融市場取引戦略の獲得と分析
  松井藤五郎, 後藤卓
  人工知能学会誌, Vol. 24, No. 3, pp. 400-407 (2009)
• カブロボへの招待—人工知能を用いた株式取引—
  松井藤五郎
  人工知能学会誌, Vol. 22, No. 4, pp. 540-547 (2007)
• Temporal-Difference Learning and Applications in Finance
  Benjamin Van Roy
  Computational Finance 1999, pp. 447-480 (1999)