2012 Fiscal Year Final Research Report
A Study on Reinforcement Learning for Analyzing Temporal Data in Finance
| Project/Area Number |
23700182
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Intelligent informatics
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| Research Institution | Chubu University |
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Principal Investigator |
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| Project Period (FY) |
2011 – 2012
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| Keywords | 機械学習 / 強化学習 / 複利型強化学習 |
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| Research Abstract |
We developed a new reinforcement learning framework, calledcompound reinforcement learning to bond selection, bond trading, stock trading, n-armedbandit, and blackjack and confirmed that compound reinforcement learning works wellespecially in finance and gambling. We also developed a method to optimize bet fractionparameter in compound reinforcement learning using online gradient method.
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