Operations Research, Systems Engineering and Industrial Engineering Commons^™

Forecasting Series-Based Stock Price Data Using Direct Reinforcement Learning, H. Li, Cihan H. Dagli, David Lee Enke

Engineering Management and Systems Engineering Faculty Research & Creative Works

A significant amount of work has been done in the area of price series forecasting using soft computing techniques, most of which are based upon supervised learning. Unfortunately, there has been evidence that such models suffer from fundamental drawbacks. Given that the short-term performance of the financial forecasting architecture can be immediately measured, it is possible to integrate reinforcement learning into such applications. In this paper, we present the novel hybrid view for a financial series and critic adaptation stock price forecasting architecture using direct reinforcement. A new utility function called policies-matching ratio is also proposed. The need for the …