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FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance
16 references·2 citing·48 second hop
FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance (2021)FinRL: Deep Reinforcement Learning Framew…Market sentiment-aware deep reinforcement learning approach for stock portfolio allocation (2021)Market sentiment-aware deep r…Recommending Cryptocurrency Trading Points with Deep Reinforcement Learning Approach (2020)Recommending Cryptocurrency T…Deep Reinforcement Learning for Trading (2020)Deep Reinforcement Learning f…Deep reinforcement learning for automated stock trading (2020)Deep reinforcement learning f…Deep LSTM with Reinforcement Learning Layer for Financial Trend Prediction in FX High Frequency Trading Systems (2019)Deep LSTM with Reinforcement …Practical Deep Reinforcement Learning Approach for Stock Trading (2018)Practical Deep Reinforcement …Practical Deep Reinforcement Learning Approach for Stock Trading (2018)Practical Deep Reinforcement …Cryptocurrency portfolio management with deep reinforcement learning (2017)Cryptocurrency portfolio mana…A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem (2017)A Deep Reinforcement Learning…Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep Direct Reinforcement Lea…Bitcoin Is Volatile! Isn’t that Right? (2014)Bitcoin Is Volatile! Isn’t th…Skulls, Financial Turbulence, and Risk Management (2010)Skulls, Financial Turbulence,…Passive Investment Strategies and Efficient Markets (2003)Passive Investment Strategies…Learning to trade via direct reinforcement (2001)Learning to trade via direct …Performance functions and reinforcement learning for trading systems and portfolios (1998)Performance functions and rei…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …A Review of Reinforcement Learning in Financial Applications (2024)A Review of Reinforcement Lea…StockFormer: Learning Hybrid Trading Machines with Predictive Coding (2023)StockFormer: Learning Hybrid …Exposition of a New Theory on the Measurement of Risk (1954)Portfolio Selection: Efficient Diversification of Investments (1959)Mutual Fund Performance (1966)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Online portfolio selection (2014)An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown (2017)Generalized autoregressive conditional heteroskedasticity (1986)International Asset Allocation With Regime Shifts (2002)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Systemic Risk and the Macroeconomy: An Empirical Evaluation (2012)Ricci curvature: An economic indicator for market fragility and systemic risk (2016)The Econometrics of Financial Markets (1997)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Herding in the German Mutual Fund Industry (2006)Is more information always better? (2006)The Econometrics of Financial Markets (2012)FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance (2020)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing: A simplified approach (1979)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)The Sharpe Ratio (1994)Deep learning-based feature engineering for stock price movement prediction (2018)Deep learning for financial applications : A survey (2020)Applications of deep learning in stock market prediction: Recent progress (2021)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Forecasting seasonals and trends by exponentially weighted moving averages (2004)Adaptive Quantitative Trading: An Imitative Deep Reinforcement Learning Approach (2020)Reinforcement-Learning Based Portfolio Management with Augmented Asset Movement Prediction States (2020)DeepTrader: A Deep Reinforcement Learning Approach for Risk-Return Balanced Portfolio Management with Market Conditions Embedding (2021)Portfolio Selection: Efficient Diversification of Investments. (1962)Anticipating Cryptocurrency Prices Using Machine Learning (2018)Forecasting and trading cryptocurrencies with machine learning under changing market conditions (2021)How are reinforcement learning and deep learning algorithms used for big data based decision making in financial industries–A review and research agenda (2022)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion in the Small and in the Large (1976)Deep learning with long short-term memory networks for financial market predictions (2017)Deep Learning for Portfolio Optimization (2020)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)An Overview of Machine Learning, Deep Learning, and Reinforcement Learning-Based Techniques in Quantitative Finance: Recent Progress and Challenges (2023)PORTFOLIO SELECTION* (1952)FinRL (2021)A novel Deep Reinforcement Learning based automated stock trading system using cascaded LSTM networks (2023)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)The New Institutionalism: Organizational Factors in Political Life (1983)Random matrix approach to cross correlations in financial data (2002)
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References

  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 2016Deep Direct Reinforcement Learning for Financial Signal Representation and Trading821 cited
  • 2001Learning to trade via direct reinforcement548 cited
  • 2017A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem310 cited
  • 2017Cryptocurrency portfolio management with deep reinforcement learning298 cited
  • 1998Performance functions and reinforcement learning for trading systems and portfolios292 cited
  • 2020Deep Reinforcement Learning for Trading226 cited
  • 2010Skulls, Financial Turbulence, and Risk Management212 cited
  • 2020Deep reinforcement learning for automated stock trading195 cited
  • 2003Passive Investment Strategies and Efficient Markets181 cited
  • 2018Practical Deep Reinforcement Learning Approach for Stock Trading95 cited
  • 2021Market sentiment-aware deep reinforcement learning approach for stock portfolio allocation83 cited
  • 2019Deep LSTM with Reinforcement Learning Layer for Financial Trend Prediction in FX High Frequency Trading Systems82 cited
  • 2014Bitcoin Is Volatile! Isn’t that Right?80 cited
  • 2020Recommending Cryptocurrency Trading Points with Deep Reinforcement Learning Approach

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75 cited
  • 2018Practical Deep Reinforcement Learning Approach for Stock Trading74 cited
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    • 2023StockFormer: Learning Hybrid Trading Machines with Predictive Coding39 cited
    • 2024A Review of Reinforcement Learning in Financial Applications30 cited