Regime-switching recurrent reinforcement learning for investment decision making
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Bibliographic InfoArticle provided by Springer in its journal Computational Management Science.
Volume (Year): 9 (2012)
Issue (Month): 1 (February)
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Web page: http://www.springerlink.com/link.asp?id=111894
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- Koutmos, Gregory, 1997. "Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(4), pages 625-636, August.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
- Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 102(411), pages 415-25, March.
- Michael D. McKenzie & Robert W. Faff, 2003. "The Determinants of Conditional Autocorrelation in Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 259-274.
- repec:att:wimass:9002 is not listed on IDEAS
- LeBaron, Blake, 1992.
"Some Relations between Volatility and Serial Correlations in Stock Market Returns,"
The Journal of Business, University of Chicago Press,
University of Chicago Press, vol. 65(2), pages 199-219, April.
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