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• W2248982967 abstract "In 1997, Moody and Wu presented recurrent reinforcement learning (RRL) as a viable machine learning method within algorithmic trading. Subsequent research has shown a degree of controversy with regards to the benefits of incorporating technical indicators in the recurrent reinforcement learning framework. In 1991, Nison introduced Japanese candlesticks to the global research community as an alternative to employing traditional indicators within the technical analysis of financial time series. The literature accumulated over the past two and a half decades of research contains conflicting results with regards to the utility of using Japanese candlestick patterns to exploit inefficiencies in financial time series. In this paper, we combine features based on Japanese candlesticks with recurrent reinforcement learning to produce a high-frequency algorithmic trading system for the E-mini S&P 500 index futures market. Our empirical study shows a statistically significant increase in both return and Sharpe ratio compared to relevant benchmarks, suggesting the existence of exploitable spatio-temporal structure in Japanese candlestick patterns and the ability of recurrent reinforcement learning to detect and take advantage of this structure in a high-frequency equity index futures trading environment." @default.
• W2248982967 created "2016-06-24" @default.
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• W2248982967 date "2015-12-01" @default.
• W2248982967 modified "2023-10-13" @default.
• W2248982967 title "High-Frequency Equity Index Futures Trading Using Recurrent Reinforcement Learning with Candlesticks" @default.
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• W2248982967 doi "https://doi.org/10.1109/ssci.2015.111" @default.
• W2248982967 hasPublicationYear "2015" @default.
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