Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal Indonesian Journal of Data and Science
Yousefi, Neda
Unknown Affiliation
Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
[WITHDRAWN] Deep Reinforcement Learning for Tehran Stock Trading Yousefi, Neda
Indonesian Journal of Data and Science Vol. 3 No. 3 (2022): Indonesian Journal of Data and Science
Publisher : yocto brain

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56705/ijodas.v3i3.53

Abstract

One of the most interesting topics for research and also for making a profit is stock trading. Artificial intelligence has had a great impact on this path. A lot of research has been done to investigate the application of machine learning, and deep learning methods in stock trading. Despite the large amount of research done in the field of prediction and automation trading, stock trading as a deep reinforcement-learning problem remains an open research area. The progress of reinforcement learning as well as the intrinsic properties of reinforcement learning make it a suitable method for market trading in theory. In this paper, single stock trading models are presented based on the fine-tuned state-of-the-art deep reinforcement learning algorithms (Deep Deterministic Policy Gradient (DDPG) and Advantage Actor Critic (A2C)). These algorithms are able to interact with the trading market and capture the financial market dynamics. The proposed models are compared, evaluated, and verified on historical stock trading data. Annualized return and Sharpe ratio have been used to evaluate the performance of proposed models. The results show that the agent designed based on both algorithms is able to make intelligent decisions on historical data. The DDPG strategy performs better than the A2C and achieves better results in terms of convergence, stability, and evaluation criteria.
Co-Authors