金融领域的深度强化学习策略:洞察资产持有、交易行为和购买多样性

Alireza Mohammadshafie, Akram Mirzaeinia, Haseebullah Jumakhan, Amir Mirzaeinia
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引用次数: 0

摘要

最近,金融领域的深度强化学习(DRL)方法取得了可喜的成果。然而,对这些 DRL 算法行为的研究还很有限。本文旨在研究它们持有或交易金融资产的倾向以及购买多样性。通过分析它们的交易行为,我们可以深入了解 DRL 模型在金融应用中的决策过程。我们的研究结果表明,每种 DRL 算法都表现出独特的交易模式和策略,其中 A2C 在累积奖励方面表现最佳。PPO 和 SAC 只对有限数量的股票进行微不足道的交易,而 DDPG 和 TD3 则采用了更为均衡的方法。此外,SAC 和 PPO 倾向于在较短时间内持有头寸,而 DDPG、A2C 和 TD3 则倾向于在较长时间内保持静止不动。
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Deep Reinforcement Learning Strategies in Finance: Insights into Asset Holding, Trading Behavior, and Purchase Diversity
Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper aims to investigate their tendencies towards holding or trading financial assets as well as purchase diversity. By analyzing their trading behaviors, we provide insights into the decision-making processes of DRL models in finance applications. Our findings reveal that each DRL algorithm exhibits unique trading patterns and strategies, with A2C emerging as the top performer in terms of cumulative rewards. While PPO and SAC engage in significant trades with a limited number of stocks, DDPG and TD3 adopt a more balanced approach. Furthermore, SAC and PPO tend to hold positions for shorter durations, whereas DDPG, A2C, and TD3 display a propensity to remain stationary for extended periods.
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