Deep Reinforcement Learning and Transfer Learning Methods Used in Autonomous Financial Trading Agents

Ciprian Paduraru; Catalina Patilea; Stefan Iordache

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Paper

Deep Reinforcement Learning and Transfer Learning Methods Used in Autonomous Financial Trading Agents

Topics: Data Science; Deep Learning; Industrial Applications of AI; Machine Learning

In Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, 15-26, 2024 , Rome, Italy

Authors: Ciprian Paduraru ; Catalina Patilea and Stefan Iordache

Affiliation: Department of Computer Science, University of Bucharest, Romania

Keyword(s): Deep Reinforcement Learning, Transfer Learning, Algorithmic Trading, Deep Q-Networks, Double Deep Q-Networks.

Abstract: It is reported that some of the largest companies from the banking and business sectors are investing massively in the field of trading with automated methods. The methods used vary from classical time series based methods to Deep Learning and more recently Reinforcement Learning (RL). The main goal of this work is first to improve the state of the art in RL-based trading agents. Then, we focus on evaluating the robustness of the trained agents when they are transferred to different trading markets than the ones they were trained on. The framework we developed, RL4FIN, is open source and can be tested by both academia and industry. The evaluation section shows the improvements over state-of-the-art using some public datasets.

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Paper citation in several formats:

Paduraru, C.; Patilea, C. and Iordache, S. (2024). Deep Reinforcement Learning and Transfer Learning Methods Used in Autonomous Financial Trading Agents. In Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART; ISBN 978-989-758-680-4; ISSN 2184-433X, SciTePress, pages 15-26. DOI: 10.5220/0012194000003636

@conference{icaart24,
author={Ciprian Paduraru. and Catalina Patilea. and Stefan Iordache.},
title={Deep Reinforcement Learning and Transfer Learning Methods Used in Autonomous Financial Trading Agents},
booktitle={Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART},
year={2024},
pages={15-26},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012194000003636},
isbn={978-989-758-680-4},
issn={2184-433X},
}

TY - CONF

JO - Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART
TI - Deep Reinforcement Learning and Transfer Learning Methods Used in Autonomous Financial Trading Agents
SN - 978-989-758-680-4
IS - 2184-433X
AU - Paduraru, C.
AU - Patilea, C.
AU - Iordache, S.
PY - 2024
SP - 15
EP - 26
DO - 10.5220/0012194000003636
PB - SciTePress