Chi Zhang
Actually, given the terminal function is reasonable in practice to perform model-based RL. Also, we can even get access to a given reward function when doing model-based learning. The reward...
The trading model is this: at time stamp t, allocate portfolio denoted as w1 and buy using open price and sell all the portfolio using close price at timestamp t...
1. There may be something wrong with the commission calculation. We are in a hurry and doesn't focus too much on the trading model. But it doesn't affect the algorithm....
Use Theano backend of keras or pull the newest commit. For Tensorflow backend, the error and solution is described here https://github.com/keras-team/keras/issues/2397.
It is one of the major issues known in many fields using deep learning models, especially RL. I suggest you try different random seeds and train for longer period. Here...
The market value refers to the return of equal distribution of your current investment volume. I think it's better to incorporate news data into the model as it is super...
We didn't include the news in this course project due to time limit. The general idea is to predict the sentiment label (positive, negative, neutral) of each stock at each...
Yes, the result of imitation learning is to just buy one stock. We try to optimize Sharpe ratio directly, but it turns out to be a very difficult problem since...
There is an assumption of the trading rule. Buy using the open price and sell all the holdings at the close price on the same day and repeat.