scholarly journals Observation Time Effects in Reinforcement Learning on Contracts for Difference

2021 ◽  
Vol 14 (2) ◽  
pp. 54
Author(s):  
Maximilian Wehrmann ◽  
Nico Zengeler ◽  
Uwe Handmann
Keyword(s):  
Reinforcement Learning ◽  
Short Term Memory ◽  
Observation Time ◽  
Sequence Length ◽  
Learning Agents ◽  
A Value ◽  
Observation Sequence ◽  
Long Short Term Memory ◽  
Contracts For Difference ◽  
Simulated Market

In this paper, we present a study on Reinforcement Learning optimization models for automatic trading, in which we focus on the effects of varying the observation time. Our Reinforcement Learning agents feature a Convolutional Neural Network (CNN) together with Long Short-Term Memory (LSTM) and act on the basis of different observation time spans. Each agent tries to maximize trading profit by buying or selling one of a number of contracts in a simulated market environment for Contracts for Difference (CfD), considering correlations between individual assets by architecture. To decide which action to take on a specific contract, an agent develops a policy which relies on an observation of the whole market for a certain period of time. We investigate whether or not there exists an optimal observation sequence length, and conclude that such a value depends on market dynamics.

scholarly journals Contracts for Difference: A Reinforcement Learning Approach

2020 ◽  
Vol 13 (4) ◽  
pp. 78
Author(s):  
Nico Zengeler ◽  
Uwe Handmann
Keyword(s):  
Reinforcement Learning ◽  
Short Term Memory ◽  
Learning Agents ◽  
Learning Framework ◽  
Learning Agent ◽  
Markov Decision ◽  
Economic Trends ◽  
Model Size ◽  
Contracts For Difference ◽  
Partially Observable

We present a deep reinforcement learning framework for an automatic trading of contracts for difference (CfD) on indices at a high frequency. Our contribution proves that reinforcement learning agents with recurrent long short-term memory (LSTM) networks can learn from recent market history and outperform the market. Usually, these approaches depend on a low latency. In a real-world example, we show that an increased model size may compensate for a higher latency. As the noisy nature of economic trends complicates predictions, especially in speculative assets, our approach does not predict courses but instead uses a reinforcement learning agent to learn an overall lucrative trading policy. Therefore, we simulate a virtual market environment, based on historical trading data. Our environment provides a partially observable Markov decision process (POMDP) to reinforcement learners and allows the training of various strategies.

Deep Reinforcement Learning for Multiparameter Optimization in de novo Drug Design

2019 ◽  
Author(s):  
Niclas Ståhl ◽  
Göran Falkman ◽  
Alexander Karlsson ◽  
Gunnar Mathiason ◽  
Jonas Boström
Keyword(s):  
Reinforcement Learning ◽  
Short Term Memory ◽  
De Novo ◽  
De Novo Drug Design ◽  
Generative Process ◽  
New Methods ◽  
Multiparameter Optimization ◽  
Long Short Term Memory ◽  
New Compounds

<p>In medicinal chemistry programs it is key to design and make compounds that are efficacious and safe. This is a long, complex and difficult multi-parameter optimization process, often including several properties with orthogonal trends. New methods for the automated design of compounds against profiles of multiple properties are thus of great value. Here we present a fragment-based reinforcement learning approach based on an actor-critic model, for the generation of novel molecules with optimal properties. The actor and the critic are both modelled with bidirectional long short-term memory (LSTM) networks. The AI method learns how to generate new compounds with desired properties by starting from an initial set of lead molecules and then improve these by replacing some of their fragments. A balanced binary tree based on the similarity of fragments is used in the generative process to bias the output towards structurally similar molecules. The method is demonstrated by a case study showing that 93% of the generated molecules are chemically valid, and a third satisfy the targeted objectives, while there were none in the initial set.</p>

scholarly journals Pemanfaatan Asynchronous Advantage Actor-Critic Dalam Pembuatan AI Game Bot Pada Game Arcade

2019 ◽  
Vol 1 (2) ◽  
pp. 74-84
Author(s):  
Evan Kusuma Susanto ◽  
Yosi Kristian
Keyword(s):  
Neural Network ◽  
Artificial Intelligence ◽  
Reinforcement Learning ◽  
Convolutional Neural Network ◽  
Short Term Memory ◽  
Trial And Error ◽  
Short Term ◽  
Term Memory ◽  
Memory Network ◽  
Long Short Term Memory

Asynchronous Advantage Actor-Critic (A3C) adalah sebuah algoritma deep reinforcement learning yang dikembangkan oleh Google DeepMind. Algoritma ini dapat digunakan untuk menciptakan sebuah arsitektur artificial intelligence yang dapat menguasai berbagai jenis game yang berbeda melalui trial and error dengan mempelajari tempilan layar game dan skor yang diperoleh dari hasil tindakannya tanpa campur tangan manusia. Sebuah network A3C terdiri dari Convolutional Neural Network (CNN) di bagian depan, Long Short-Term Memory Network (LSTM) di tengah, dan sebuah Actor-Critic network di bagian belakang. CNN berguna sebagai perangkum dari citra output layar dengan mengekstrak fitur-fitur yang penting yang terdapat pada layar. LSTM berguna sebagai pengingat keadaan game sebelumnya. Actor-Critic Network berguna untuk menentukan tindakan terbaik untuk dilakukan ketika dihadapkan dengan suatu kondisi tertentu. Dari hasil percobaan yang dilakukan, metode ini cukup efektif dan dapat mengalahkan pemain pemula dalam memainkan 5 game yang digunakan sebagai bahan uji coba.

JAZZ MELODY GENERATION USING RECURRENT NETWORKS AND REINFORCEMENT LEARNING

2006 ◽  
Vol 15 (04) ◽  
pp. 623-650
Author(s):  
JUDY A. FRANKLIN
Keyword(s):  
Reinforcement Learning ◽  
Dynamic Systems ◽  
Recurrent Neural Networks ◽  
Short Term Memory ◽  
State Of The Art ◽  
Recurrent Network ◽  
Recurrent Networks ◽  
Short Term ◽  
Long Short Term Memory ◽  
Lstm Network

Recurrent (neural) networks have been deployed as models for learning musical processes, by computational scientists who study processes such as dynamic systems. Over time, more intricate music has been learned as the state of the art in recurrent networks improves. One particular recurrent network, the Long Short-Term Memory (LSTM) network shows promise for learning long songs, and generating new songs. We are experimenting with a module containing two inter-recurrent LSTM networks to cooperatively learn several human melodies, based on the songs' harmonic structures, and on the feedback inherent in the network. We show that these networks can learn to reproduce four human melodies. We then present as input new harmonizations, so as to generate new songs. We describe the reharmonizations, and show the new melodies that result. We also present a hierarchical structure for using reinforcement learning to choose LSTM modules during the course of melody generation.

Online pricing of demand response based on long short-term memory and reinforcement learning

2020 ◽  
Vol 271 ◽  
pp. 114945
Author(s):  
Xiangyu Kong ◽  
Deqian Kong ◽  
Jingtao Yao ◽  
Linquan Bai ◽  
Jie Xiao
Keyword(s):  
Reinforcement Learning ◽  
Demand Response ◽  
Short Term Memory ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory ◽  
Online Pricing

scholarly journals Recurrent Neural Network and Reinforcement Learning Model for COVID-19 Prediction

2021 ◽  
Vol 9 ◽  
Author(s):  
R. Lakshmana Kumar ◽  
Firoz Khan ◽  
Sadia Din ◽  
Shahab S. Band ◽  
Amir Mosavi ◽  
...  
Keyword(s):  
Deep Learning ◽  
Reinforcement Learning ◽  
Short Term Memory ◽  
Learning Model ◽  
Short Term ◽  
Real World Data ◽  
Term Memory ◽  
Long Short Term Memory ◽  
Learning Reinforcement ◽  
Novel Coronavirus

Detection and prediction of the novel Coronavirus present new challenges for the medical research community due to its widespread across the globe. Methods driven by Artificial Intelligence can help predict specific parameters, hazards, and outcomes of such a pandemic. Recently, deep learning-based approaches have proven a novel opportunity to determine various difficulties in prediction. In this work, two learning algorithms, namely deep learning and reinforcement learning, were developed to forecast COVID-19. This article constructs a model using Recurrent Neural Networks (RNN), particularly the Modified Long Short-Term Memory (MLSTM) model, to forecast the count of newly affected individuals, losses, and cures in the following few days. This study also suggests deep learning reinforcement to optimize COVID-19's predictive outcome based on symptoms. Real-world data was utilized to analyze the success of the suggested system. The findings show that the established approach promises prognosticating outcomes concerning the current COVID-19 pandemic and outperformed the Long Short-Term Memory (LSTM) model and the Machine Learning model, Logistic Regresion (LR) in terms of error rate.

scholarly journals Betting on bitcoin: a profitable trading between directional and shielding strategies

2021 ◽  
Author(s):  
Paolo De Angelis ◽  
Roberto De Marchis ◽  
Mario Marino ◽  
Antonio Luciano Martire ◽  
Immacolata Oliva
Keyword(s):  
Neural Network ◽  
Theoretical Model ◽  
Short Term Memory ◽  
Future Time ◽  
Short Term ◽  
Term Memory ◽  
Price Process ◽  
Long Short Term Memory ◽  
Contracts For Difference ◽  
The Difference

AbstractIn this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor’s gain, assessed at a given future time t, is obtained as the difference between the predicted Bitcoin price and an apt threshold. Starting from some empirical findings, and passing through the specification of a suitable theoretical model for the Bitcoin price process, we are able to provide possible investment scenarios, thanks to the use of a Recurrent Neural Network with a Long Short-Term Memory for predicting purposes.

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