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Regime-switching recurrent reinforcement learning for investment decision making

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  • Dietmar Maringer

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  • Tikesh Ramtohul

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    File URL: http://hdl.handle.net/10.1007/s10287-011-0131-1
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    Bibliographic Info

    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 9 (2012)
    Issue (Month): 1 (February)
    Pages: 89-107

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    Handle: RePEc:spr:comgts:v:9:y:2012:i:1:p:89-107

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    Web page: http://www.springerlink.com/link.asp?id=111894

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    1. Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-25, March.
    2. Koutmos, Gregory, 1997. "Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 625-636, August.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    4. 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.
    5. repec:att:wimass:9002 is not listed on IDEAS
    6. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
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