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Regime-switching recurrent reinforcement learning for investment decision making · Study

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ArticleRegime-switching recurrent reinforcement learning for investment decision making

Dietmar G. Maringer2011

Article2011

Regime-switching recurrent reinforcement learning for investment decision making

Dietmar G. Maringer · Tikesh Ramtohul

40 citations·0/0 files stored·Computational Management Science

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Stock Market Forecasting Methods Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1966Mutual Fund Performance 2000Nonlinear Time Series Models in Empirical Finance 2001Learning to trade via direct reinforcement 1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2010Regime switching models 1998Performance functions and reinforcement learning for trading systems and portfolios 1992Some Relations Between Volatility and Serial Correlations in Stock Market Returns

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Year2011

Typearticle

Published2011-09-09

VenueComputational Management Science

ISSN-L1619-697X

Languageen

Citations40

Files0 public / 0

ShelfStock Market Forecasting Methods

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doi10.1007/s10287-011-0131-1

openalex_workW2018964251

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