Online reinforcement learning transaction system and method

A technology of intensive learning and trading system, applied in the computer field, can solve the problems of limited trading experience and disadvantages of trading personnel, achieve real-time learning and adapt to market changes, simple and easy to implement, and improve practicability and reliability

Inactive Publication Date: 2017-06-13
TSINGHUA UNIV
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Problems solved by technology

However, there are still many deficiencies in the existing programmed trading algorithms. For example, most of them require the designer to have rich trading experience, refine the trading experience, come up with trading ideas, and then use the program to realize it, which is not only limited by the trading personnel. trading experience, and it is not conducive to fully analyze market data to discover more arbitrage opportunities

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  • Online reinforcement learning transaction system and method
  • Online reinforcement learning transaction system and method
  • Online reinforcement learning transaction system and method

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Embodiment Construction

[0038] Embodiments of the present invention are described in detail below, examples of which are shown in the drawings, wherein the same or similar reference numerals designate the same or similar elements or elements having the same or similar functions throughout. The embodiments described below by referring to the figures are exemplary and are intended to explain the present invention and should not be construed as limiting the present invention.

[0039] The following describes the online reinforcement learning trading system and method according to the embodiments of the present invention with reference to the accompanying drawings. First, the online reinforcement learning trading system according to the embodiments of the present invention will be described with reference to the accompanying drawings.

[0040] figure 1 It is a schematic structural diagram of the online reinforcement learning transaction system of the embodiment of the present invention.

[0041] Such as...

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Abstract

The invention discloses an online reinforcement learning transaction system and method. The system comprises a collection module used for collecting transaction data of a transaction market, a feature mapping module used for performing continuous space mapping on the transaction data to obtain a reinforcement learning state, a reinforcement learning model used for performing Q function approximation in an iterative mode and updating model parameters, an output module used for outputting a Q value of each operation according to the reinforcement learning model and a reinforcement learning state obtained after each iteration and extracting a maximum value in Q values of all operations, and a calculation module used for evaluating a transaction effect according to the maximum value in the Q values of all the operations. According to the system, complex signals of the transaction market can be learned, and the market change can be learned in real time and adapted, so that the practicality and reliability of the system are improved; and the system is simple and easy to realize.

Description

technical field [0001] The invention relates to the field of computer technology, in particular to an online reinforcement learning transaction system and method. Background technique [0002] With more and more trading data in the market, the need for rapid analysis of large amounts of data is becoming more and more urgent, especially in some high-frequency trading, relying on human beings to issue trading orders is likely to lag behind and lead to loss of profit opportunities. Therefore, computer technology is applied in transactions, so as to rely on the program to automatically analyze the existing data to discover arbitrage opportunities and issue trading instructions to make profits. [0003] In related technologies, the application of programmatic transactions mainly includes the following two aspects: [0004] 1. For the analysis of fundamental information, the program can automatically analyze documents such as the company's financial statements, and obtain valuabl...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q40/04
Inventor 王东汪洋刘荣
Owner TSINGHUA UNIV
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