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Forecasting series-based stock price data using direct reinforcement learning

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3 Author(s)
Hailin Li ; Dept. of Eng. Manage., Missouri Univ., Rolla, MO, USA ; Dagli, Cihan H. ; Enke, D.

A significant amount of work has been done in the area of price series forecasting using soft computing techniques, most of which are based upon supervised learning. Unfortunately, there has been evidence that such models suffer from fundamental drawbacks. Given that the short-term performance of the financial forecasting architecture can be immediately measured, it is possible to integrate reinforcement learning into such applications. In this paper, we present the novel hybrid view for a financial series and critic adaptation stock price forecasting architecture using direct reinforcement. A new utility function called policies-matching ratio is also proposed. The need for the common tweaking work of supervised learning is reduced and the empirical results using real financial data illustrate the effectiveness of such a learning framework.

Published in:

Neural Networks, 2004. Proceedings. 2004 IEEE International Joint Conference on  (Volume:2 )

Date of Conference:

25-29 July 2004

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