強化学習/ファイナンスへの応用
をテンプレートにして作成
開始行:
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...
----
*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...
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, ...
-[[''Short-term Stock Market Timing Prediction under Rein...
Hailin Li, Dagli, C.H., and Enke, D.~
ADPRL 2007, pp. 233-240 (2007)
-[[''A Multiagent Approach to Q-Learning for Daily Stock ...
Jae Won Lee, Jonghun Park, Jangmin O, Jongwoo Lee, Euyseo...
IEEE Transactions on Systems, Man and Cybernetics, Part A...
-[[''Adaptive stock trading with dynamic asset allocation...
Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang~
Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (20...
-[[''Three Automated Stock-Trading Agents: A Comparative ...
Alexander A. Sherstov, Peter Stone~
Proceedings of the AAMAS 2004 Workshop on Agent-Mediated ...
-[[''An Intelligent Stock Trading System Based on Reinfor...
Jae Won LEE, Sung-Dong KIM, Jongwoo LEE, Jinseok CHAE~
IEICE Transactions on Information and Systems, Vol. E86-D...
**為替 [#fc09615b]
-[[''An automated FX trading system using adaptive reinfo...
M.A.H. Dempster and V. Leemans~
Expert Systems with Applications, Vol. 30, No. 3, pp. 543...
-[[''Evolutionary reinforcement learning in FX order book...
Bates, R.G.; Dempster, M.A.H.; Romahi, Y.S.~
Proceedings of the 2003 IEEE International Conference on ...
-[[''FX trading via recurrent reinforcement learning'':ht...
Gold, C.~
Proceedings of the 2003 IEEE International Conference on ...
-[[''Intraday FX Trading: An Evolutionary Reinforcement L...
M. A. H. Dempster, Y. S. Romahi~
Proceedings of the 3rd International Conference on Intell...
-[[''Computational learning techniques for intraday FX tr...
Dempster, M.A.H., Payne, T.W., Romahi, Y., and Thompson, ...
IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 744-7...
**債券 [#d38b3a27]
-[[''Acquiring a Government Bond Trading Strategy Using R...
Tohgoroh Matsui, Takashi Goto, and Kiyoshi Izumi~
Journal of Advanced Computational Intelligence and Intell...
**インデックス [#tfcf0085]
-[[''Making Financial Trading by Recurrent Reinforcement ...
Francesco Bertoluzzo, Marco Corazza~
Proceedings of the 11th International Conference on Knowl...
-[[''Learning to Trade via Direct Reinfocement'':http://i...
John Moody and Matthew Saffell~
IEEE Transactions of Neural Networks, Vol. 12, No. 4, pp....
-[[''Performance Functions and Reinforcement Learning for...
John Moody, Lizhong Wu, Yuansong Liao, and Matthew Saffell~
Journal of Forecasting, Vol. 17, pp. 441-470 (1998)
-[[''Reinforcement Learning for Trading Systems and Portf...
John Moody and Matthew Saffell~
KDD 1998, pp. 279-283 (1998)
**電力 [#g96b2d69]
-[[''A system for electricity trading using genetic algor...
Hryshko, A.; Downs, T.~
Proceedings of the Australasian Universities Power Engine...
----
*注文執行最適化 [#c55795e3]
-[[''Reinforcement learning for optimized trade execution...
Yuriy Nevmyvaka, Yi Feng, Michael Kearns~
Proceedings of the 23rd international conference on Machi...
----
*資本配分，ポートフォリオ最適化 [#s6468d27]
-[[''A Learning Algorithm for Risk-Sensitive Cost'':http:...
Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 8...
-[[''Independent Factor Reinforcement Learning for Portfo...
Jian Li, Kun Zhang, and Laiwan Chan~
IDEAL 2007, pp. 1020-1031 (2007)
-[[''Adaptive stock trading with dynamic asset allocation...
Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang~
Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (20...
-[[''Reward Adjustment Reinforcement Learning for Risk-av...
Jian Li, Laiwan Chan~
IJCNN 2006, pp. 534-541 (2006)
-''Optimal Asset Allocation using Reinforcement Learning:...
Li, H., C. Dagli, and D. Enke~
Intelligent Engineering Systems through Artificial Neural...
-''Emotional Reinforcement Learning for Portfolio Selecti...
A. Abbaspour, C. Lucas~
WSEAS Transactions on Systems, 3(1), 306-309 (2004)
-[[''Kernel-Based Reinforcement Learning in Average-Cost ...
Dirk Ormoneit, Peter W. Glynn~
NIPS 2000, pp. 1068-1074 (2001)
-[[''Variance-Penalized Reinforcement Learning for Risk-A...
Makoto Sato and Shigenobu Kobayashi~
IDEAL 2000, pp. 333-364 (2000)
-''An Algorithm for Trading and Portfolio Management Usin...
X. Gao, Laiwan Chan~
ICONIP 2000, pp. 576-582 (2000)
----
*市場予測 [#s1186590]
-[[''Forecasting series-based stock price data using dire...
Li, H.; Dagli, C.H.; Enke, D.~
Proceedings of the 2004 IEEE International Joint Conferen...
----
*行動ファイナンス [#if349214]
-[[''Reinforcement Learning and Savings Behavior'':http:/...
JAMES J. CHOI, DAVID LAIBSON, BRIGITTE C. MADRIAN, and AN...
Journal of Finance, Vol. 64, No. 6, pp. 2515-2534 (2009)
-[[''Positive and Negative Recency Effects in Retirement ...
Jörg Rieskamp~
Journal of Experimental Psychology: Applied, Vol. 12, No....
-[[''Reinforcement learning in the El Farol model'':http:...
Reiner Franke~
Journal of Economic Behavior & Organization, Vol. 51, No....
-[[''Learning to deal with risk: what does reinforcement ...
Albert Burgos~
Economics Bulletin, Vol. 4, No. 10 pp. 1−13 (2002)
----
*強化学習 [#r1197634]
**リスク回避 [#i73af9f5]
-[[''A Learning Algorithm for Risk-Sensitive Cost'':http:...
Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 8...
-[[''Risk-Sensitive Reinforcement Learning Applied to Con...
P. Geibel and F. Wysotzki~
JAIR, Vol. 24, pp. 81-108 (2005)
-[[''Risk-Sensitive Reinforcement Learning'':http://www.s...
Oliver Mihatsch and Ralph Neuneier~
Mach Learn, Vol. 49, No. 2-3, pp. 267-290 (2002)
-[[''Evolution of Reinforcement Learning in Uncertain Env...
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 P...
V. S. Borkar, S. P. Meyn~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 1, pp. 1...
-[[''Q-Learning for Risk-Sensitive Control'':http://mor.j...
V. S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 2, pp. 2...
-[[''A sensitivity formula for risk-sensitive cost and th...
V. S. Borkar~
Systems & Control Letters, Vol. 44, No. 5, pp. 339-346 (2...
-[[''Reinforcement Learning with Bounded Risk'':http://po...
Peter Geibel~
ICML 2001, pp. 162-169 (2001)
-[[''Average-Reward Reinforcement Learning for Variance P...
Makoto Sato and Shigenobu Kobayashi~
ICML 2001, pp. 473-480 (2001)
-[[''Risk sensitive reinforcement learning'':http://books...
Ralph Neuneier and Oliver Mihatsch ~
NIPS 1999, pp. 1031-1037 (2000).
-[[''An Analysis of temporal-Difference Learning with Fun...
J.N. Tsitsiklis and B. Van Roy~
IEEE Trans. on Automatic Control, Vol. 42, No. 5, pp. 674...
-''Consideration of Risk in Reinforcement Learning''~
Matthias Heger~
ICML 1994, pp. 105-111 (1994).
----
*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 Fin...
Benjamin Van Roy~
Computational Finance 1999, pp. 447-480 (1999)
終了行:
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...
----
*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...
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, ...
-[[''Short-term Stock Market Timing Prediction under Rein...
Hailin Li, Dagli, C.H., and Enke, D.~
ADPRL 2007, pp. 233-240 (2007)
-[[''A Multiagent Approach to Q-Learning for Daily Stock ...
Jae Won Lee, Jonghun Park, Jangmin O, Jongwoo Lee, Euyseo...
IEEE Transactions on Systems, Man and Cybernetics, Part A...
-[[''Adaptive stock trading with dynamic asset allocation...
Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang~
Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (20...
-[[''Three Automated Stock-Trading Agents: A Comparative ...
Alexander A. Sherstov, Peter Stone~
Proceedings of the AAMAS 2004 Workshop on Agent-Mediated ...
-[[''An Intelligent Stock Trading System Based on Reinfor...
Jae Won LEE, Sung-Dong KIM, Jongwoo LEE, Jinseok CHAE~
IEICE Transactions on Information and Systems, Vol. E86-D...
**為替 [#fc09615b]
-[[''An automated FX trading system using adaptive reinfo...
M.A.H. Dempster and V. Leemans~
Expert Systems with Applications, Vol. 30, No. 3, pp. 543...
-[[''Evolutionary reinforcement learning in FX order book...
Bates, R.G.; Dempster, M.A.H.; Romahi, Y.S.~
Proceedings of the 2003 IEEE International Conference on ...
-[[''FX trading via recurrent reinforcement learning'':ht...
Gold, C.~
Proceedings of the 2003 IEEE International Conference on ...
-[[''Intraday FX Trading: An Evolutionary Reinforcement L...
M. A. H. Dempster, Y. S. Romahi~
Proceedings of the 3rd International Conference on Intell...
-[[''Computational learning techniques for intraday FX tr...
Dempster, M.A.H., Payne, T.W., Romahi, Y., and Thompson, ...
IEEE Trans. on Neural Networks, Vol. 12, No. 4, pp. 744-7...
**債券 [#d38b3a27]
-[[''Acquiring a Government Bond Trading Strategy Using R...
Tohgoroh Matsui, Takashi Goto, and Kiyoshi Izumi~
Journal of Advanced Computational Intelligence and Intell...
**インデックス [#tfcf0085]
-[[''Making Financial Trading by Recurrent Reinforcement ...
Francesco Bertoluzzo, Marco Corazza~
Proceedings of the 11th International Conference on Knowl...
-[[''Learning to Trade via Direct Reinfocement'':http://i...
John Moody and Matthew Saffell~
IEEE Transactions of Neural Networks, Vol. 12, No. 4, pp....
-[[''Performance Functions and Reinforcement Learning for...
John Moody, Lizhong Wu, Yuansong Liao, and Matthew Saffell~
Journal of Forecasting, Vol. 17, pp. 441-470 (1998)
-[[''Reinforcement Learning for Trading Systems and Portf...
John Moody and Matthew Saffell~
KDD 1998, pp. 279-283 (1998)
**電力 [#g96b2d69]
-[[''A system for electricity trading using genetic algor...
Hryshko, A.; Downs, T.~
Proceedings of the Australasian Universities Power Engine...
----
*注文執行最適化 [#c55795e3]
-[[''Reinforcement learning for optimized trade execution...
Yuriy Nevmyvaka, Yi Feng, Michael Kearns~
Proceedings of the 23rd international conference on Machi...
----
*資本配分，ポートフォリオ最適化 [#s6468d27]
-[[''A Learning Algorithm for Risk-Sensitive Cost'':http:...
Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 8...
-[[''Independent Factor Reinforcement Learning for Portfo...
Jian Li, Kun Zhang, and Laiwan Chan~
IDEAL 2007, pp. 1020-1031 (2007)
-[[''Adaptive stock trading with dynamic asset allocation...
Jangmin O, Jongwoo Lee, Jae Won Lee, Byoung-Tak Zhang~
Information Sciences, Vol. 176, No. 15, pp. 2121-2147 (20...
-[[''Reward Adjustment Reinforcement Learning for Risk-av...
Jian Li, Laiwan Chan~
IJCNN 2006, pp. 534-541 (2006)
-''Optimal Asset Allocation using Reinforcement Learning:...
Li, H., C. Dagli, and D. Enke~
Intelligent Engineering Systems through Artificial Neural...
-''Emotional Reinforcement Learning for Portfolio Selecti...
A. Abbaspour, C. Lucas~
WSEAS Transactions on Systems, 3(1), 306-309 (2004)
-[[''Kernel-Based Reinforcement Learning in Average-Cost ...
Dirk Ormoneit, Peter W. Glynn~
NIPS 2000, pp. 1068-1074 (2001)
-[[''Variance-Penalized Reinforcement Learning for Risk-A...
Makoto Sato and Shigenobu Kobayashi~
IDEAL 2000, pp. 333-364 (2000)
-''An Algorithm for Trading and Portfolio Management Usin...
X. Gao, Laiwan Chan~
ICONIP 2000, pp. 576-582 (2000)
----
*市場予測 [#s1186590]
-[[''Forecasting series-based stock price data using dire...
Li, H.; Dagli, C.H.; Enke, D.~
Proceedings of the 2004 IEEE International Joint Conferen...
----
*行動ファイナンス [#if349214]
-[[''Reinforcement Learning and Savings Behavior'':http:/...
JAMES J. CHOI, DAVID LAIBSON, BRIGITTE C. MADRIAN, and AN...
Journal of Finance, Vol. 64, No. 6, pp. 2515-2534 (2009)
-[[''Positive and Negative Recency Effects in Retirement ...
Jörg Rieskamp~
Journal of Experimental Psychology: Applied, Vol. 12, No....
-[[''Reinforcement learning in the El Farol model'':http:...
Reiner Franke~
Journal of Economic Behavior & Organization, Vol. 51, No....
-[[''Learning to deal with risk: what does reinforcement ...
Albert Burgos~
Economics Bulletin, Vol. 4, No. 10 pp. 1−13 (2002)
----
*強化学習 [#r1197634]
**リスク回避 [#i73af9f5]
-[[''A Learning Algorithm for Risk-Sensitive Cost'':http:...
Arnab Basu, Tirthankar Bhattacharyya, Vivek S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 33, No. 4, pp. 8...
-[[''Risk-Sensitive Reinforcement Learning Applied to Con...
P. Geibel and F. Wysotzki~
JAIR, Vol. 24, pp. 81-108 (2005)
-[[''Risk-Sensitive Reinforcement Learning'':http://www.s...
Oliver Mihatsch and Ralph Neuneier~
Mach Learn, Vol. 49, No. 2-3, pp. 267-290 (2002)
-[[''Evolution of Reinforcement Learning in Uncertain Env...
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 P...
V. S. Borkar, S. P. Meyn~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 1, pp. 1...
-[[''Q-Learning for Risk-Sensitive Control'':http://mor.j...
V. S. Borkar~
MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 2, pp. 2...
-[[''A sensitivity formula for risk-sensitive cost and th...
V. S. Borkar~
Systems & Control Letters, Vol. 44, No. 5, pp. 339-346 (2...
-[[''Reinforcement Learning with Bounded Risk'':http://po...
Peter Geibel~
ICML 2001, pp. 162-169 (2001)
-[[''Average-Reward Reinforcement Learning for Variance P...
Makoto Sato and Shigenobu Kobayashi~
ICML 2001, pp. 473-480 (2001)
-[[''Risk sensitive reinforcement learning'':http://books...
Ralph Neuneier and Oliver Mihatsch ~
NIPS 1999, pp. 1031-1037 (2000).
-[[''An Analysis of temporal-Difference Learning with Fun...
J.N. Tsitsiklis and B. Van Roy~
IEEE Trans. on Automatic Control, Vol. 42, No. 5, pp. 674...
-''Consideration of Risk in Reinforcement Learning''~
Matthias Heger~
ICML 1994, pp. 105-111 (1994).
----
*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 Fin...
Benjamin Van Roy~
Computational Finance 1999, pp. 447-480 (1999)
ページ名:
![[PukiWiki]](https://xn--p8ja5bwe1i.jp:443/wiki/image/banner.png "[PukiWiki]")