项目作者: golsun

项目描述 :
playing idealized trading games with deep reinforcement learning
高级语言: Python
项目地址: git://github.com/golsun/deep-RL-trading.git
创建时间: 2018-02-25T17:41:42Z
项目社区:https://github.com/golsun/deep-RL-trading

开源协议:MIT License

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Playing trading games with deep reinforcement learning

This repo is the code for this paper. Deep reinforcement learing is used to find optimal strategies in these two scenarios:

  • Momentum trading: capture the underlying dynamics
  • Arbitrage trading: utilize the hidden relation among the inputs

Several neural networks are compared:

  • Recurrent Neural Networks (GRU/LSTM)
  • Convolutional Neural Network (CNN)
  • Multi-Layer Perception (MLP)

Dependencies

You can get all dependencies via the Anaconda environment file, env.yml:

  1. conda env create -f env.yml

Play with it

Just call the main function

  1. python main.py

You can play with model parameters (specified in main.py), if you get good results or any trouble, please contact me at gxiang1228@gmail.com