ファイナンスへの応用

| Topic path: Top / 強化学習 / 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．）

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*取引戦略獲得 [#sc22a2bc]

**株式 [#b2cb2fd1]
-[[''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'':http://www.jstage.jst.go.jp/article/ieejeiss/127/7/127_1061/_article/-char/ja/]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4220838]]~
Hailin Li,   Dagli, C.H., and   Enke, D.~
ADPRL 2007, pp. 233-240 (2007)
-[[''A Multiagent Approach to Q-Learning for Daily Stock Trading'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=4342801]]~
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'':http://dx.doi.org/10.1016/j.ins.2005.10.009]]~
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'':http://www.springerlink.com/content/1n177848nj158772/]]~
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'':http://search.ieice.org/bin/summary.php?id=e86-d_2_296&category=D&lang=E&year=2003]]~
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 [#fc09615b]
-[[''An automated FX trading system using adaptive reinforcement learning'':http://dx.doi.org/10.1016/j.eswa.2005.10.012]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=1196282]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=1196283]]~
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'':http://www.springerlink.com/content/gj652dyl258xw231/]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=20234&arnumber=935088&count=24&index=9]]~
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 [#d38b3a27]
-[[''Acquiring a Government Bond Trading Strategy Using Reinforcement Learning'':http://www.fujipress.jp/finder/xslt.php?mode=present&inputfile=JACII001300060012.xml]]~
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 [#tfcf0085]
-[[''Making Financial Trading by Recurrent Reinforcement Learning'':http://www.springerlink.com/content/d13q68316374wm47/]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?tp=&arnumber=935097&isnumber=20234]]~
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'':http://www3.interscience.wiley.com/journal/2985/abstract]]~
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'':http://scholar.google.co.jp/scholar?cluster=3297166835078718984]]~
John Moody and Matthew Saffell~
KDD 1998, pp. 279-283 (1998)

**電力 [#g96b2d69]
-[[''A system for electricity trading using genetic algorithm and reinforcement learning'':http://espace.uq.edu.au/view/UQ:100841]]~
Hryshko, A.; Downs, T.~
Proceedings of the Australasian Universities Power Engineering Conference 2004, pp. 1-7 (2004)


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*注文執行最適化 [#c55795e3]

-[[''Reinforcement learning for optimized trade execution'':http://doi.acm.org/10.1145/1143844.1143929]]~
Yuriy Nevmyvaka, Yi Feng, Michael Kearns~
Proceedings of the 23rd international conference on Machine learning (ICML 2006), pp. 673-680 (2006)


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*資本配分，ポートフォリオ最適化 [#s6468d27]

-[[''A Learning Algorithm for Risk-Sensitive Cost'':http://mor.journal.informs.org/cgi/content/abstract/33/4/880]]~
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'':http://www.springerlink.com/content/5502727885t3u104/]]~
Jian Li, Kun Zhang,  and Laiwan Chan~
IDEAL 2007, pp. 1020-1031 (2007)
-[[''Adaptive stock trading with dynamic asset allocation using reinforcement learning'':http://dx.doi.org/10.1016/j.ins.2005.10.009]]~
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'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=1716139]]~
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'':http://books.nips.cc/nips13.html]]~
Dirk Ormoneit, Peter W. Glynn~
NIPS 2000, pp. 1068-1074 (2001)
-[[''Variance-Penalized Reinforcement Learning for Risk-Averse Asset Allocation'':http://www.springerlink.com/content/qp9b0c63mtfdvply/]]~
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)


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*市場予測 [#s1186590]

-[[''Forecasting series-based stock price data using direct reinforcement learning'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?arnumber=1380088]]~
Li, H.; Dagli, C.H.; Enke, D.~
Proceedings of the 2004 IEEE International Joint Conference on Neural Networks, Vol. 2, pp. 1098-7576 (2004)


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*行動ファイナンス [#if349214]

-[[''Reinforcement Learning and Savings Behavior'':http://www.afajof.org/journal/abstract.asp?ref=0022-1082&vid=64&iid=6&aid=4&s=-9999]]~
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'':http://dx.doi.org/10.1037/1076-898X.12.4.233]]~
Jörg Rieskamp~
Journal of Experimental Psychology: Applied, Vol. 12, No. 4, pp. 233-250 (2006)
-[[''Reinforcement learning in the El Farol model'':http://dx.doi.org/10.1016/S0167-2681(02)00152-X]]~
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?'':http://ideas.repec.org/a/ebl/ecbull/eb-02d80010.html]]~
Albert Burgos~
Economics Bulletin, Vol. 4, No. 10 pp. 1−13 (2002)


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*強化学習 [#r1197634]

**リスク回避 [#i73af9f5]
-[[''A Learning Algorithm for Risk-Sensitive Cost'':http://mor.journal.informs.org/cgi/content/abstract/33/4/880]]~
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'':http://www.jair.org/papers/paper1666.html]]~
P. Geibel and F. Wysotzki~
JAIR, Vol. 24, pp. 81-108 (2005)
-[[''Risk-Sensitive Reinforcement Learning'':http://www.springerlink.com/content/n2uf0n0nmndxbdp1/]]~
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'':http://adb.sagepub.com/cgi/content/abstract/10/1/5]]~
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'':http://mor.journal.informs.org/cgi/content/abstract/27/1/192]]~
V. S. Borkar, S. P. Meyn~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 1, pp. 192-209 (2002)
-[[''Q-Learning for Risk-Sensitive Control'':http://mor.journal.informs.org/cgi/content/abstract/27/2/294]]~
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'':http://dx.doi.org/10.1016/S0167-6911(01)00152-9]]~
V. S. Borkar~
Systems & Control Letters, Vol. 44, No. 5, pp. 339-346 (2001)
-[[''Reinforcement Learning with Bounded Risk'':http://portal.acm.org/citation.cfm?id=645530.658295]]~
Peter Geibel~
ICML 2001, pp. 162-169 (2001)
-[[''Average-Reward Reinforcement Learning for Variance Penalized Markov Decision Problems'':http://portal.acm.org/citation.cfm?id=645530.757778]]~
Makoto Sato and Shigenobu Kobayashi~
ICML 2001, pp. 473-480 (2001)
-[[''Risk sensitive reinforcement learning'':http://books.nips.cc/nips12.html]]~
Ralph Neuneier and Oliver Mihatsch	~
NIPS 1999, pp. 1031-1037 (2000).
-[[''An Analysis of temporal-Difference Learning with Function Approximation'':http://ieeexplore.ieee.org/xpl/freeabs_all.jsp?isnumber=12616&arnumber=580874]]~
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).


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*解説 [#cc9e51de]
-''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'':http://books.google.co.jp/books?id=ZTkFszCxwdAC&lpg=PA447&ots=MI1kocfwCX&lr=&pg=PA447#v=onepage&q=&f=false]]~
Benjamin Van Roy~
Computational Finance 1999, pp. 447-480 (1999)
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