Open Access. Powered by Scholars. Published by Universities.®

Engineering Commons

Open Access. Powered by Scholars. Published by Universities.®

2019

Missouri University of Science and Technology

Social and Behavioral Sciences

Investment

Articles 1 - 1 of 1

Full-Text Articles in Engineering

Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister Jan 2019

Less Is More: Beating The Market With Recurrent Reinforcement Learning, Louis Kurt Bernhard Steinmeister

Masters Theses

"Multiple recurrent reinforcement learners were implemented to make trading decisions based on real and freely available macro-economic data. The learning algorithm and different reinforcement functions (the Differential Sharpe Ratio, Differential Downside Deviation Ratio and Returns) were revised and the performances were compared while transaction costs were taken into account. (This is important for practical implementations even though many publications ignore this consideration.) It was assumed that the traders make long-short decisions in the S&P500 with complementary 3-month treasury bill investments. Leveraged positions in the S&P500 were disallowed. Notably, the Differential Sharpe Ratio and the Differential Downside Deviation Ratio ...