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Comparing RL Approaches for Applications to Financial Trading Systems

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Marco Corazza

    (Ca’ Foscari University of Venice)

  • Giovanni Fasano

    (Ca’ Foscari University of Venice)

  • Riccardo Gusso

    (Ca’ Foscari University of Venice)

  • Raffaele Pesenti

    (Ca’ Foscari University of Venice)

Abstract

In this paper we present and implement different Reinforcement Learning (RL) algorithms in financial trading systems. RL-based approaches aim to find an optimal policy, that is an optimal mapping between the variables describing an environment state and the actions available to an agent, by interacting with the environment itself in order to maximize a cumulative return. In particular, we compare the results obtained considering different on-policy (SARSA) and off-policy (Q-Learning, Greedy-GQ) RL algorithms applied to daily trading in the Italian stock market. We both consider computational issues and investigate practical solutions applications, in an effort to improve previous results while keeping a simple and understandable structure of the used models.

Suggested Citation

  • Marco Corazza & Giovanni Fasano & Riccardo Gusso & Raffaele Pesenti, 2021. "Comparing RL Approaches for Applications to Financial Trading Systems," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 145-151, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_22
    DOI: 10.1007/978-3-030-78965-7_22
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