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- W4313435504 abstract "There are several automated stock trading programs using reinforcement learning, one of which is an ensemble strategy. The main idea of the ensemble strategy is to train DRL agents and make an ensemble with three different actor–critic algorithms: Advantage Actor–Critic (A2C), Deep Deterministic Policy Gradient (DDPG), and Proximal Policy Optimization (PPO). This novel idea was the concept mainly used in this paper. However, we did not stop there, but we refined the automated stock trading in two areas. First, we made another DRL-based ensemble and employed it as a new trading agent. We named it Remake Ensemble, and it combines not only A2C, DDPG, and PPO but also Actor–Critic using Kronecker-Factored Trust Region (ACKTR), Soft Actor–Critic (SAC), Twin Delayed DDPG (TD3), and Trust Region Policy Optimization (TRPO). Furthermore, we expanded the application domain of automated stock trading. Although the existing stock trading method treats only 30 Dow Jones stocks, ours handles KOSPI stocks, JPX stocks, and Dow Jones stocks. We conducted experiments with our modified automated stock trading system to validate its robustness in terms of cumulative return. Finally, we suggested some methods to gain relatively stable profits following the experiments." @default.
- W4313435504 created "2023-01-06" @default.
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- W4313435504 date "2023-01-03" @default.
- W4313435504 modified "2023-10-14" @default.
- W4313435504 title "Empirical Analysis of Automated Stock Trading Using Deep Reinforcement Learning" @default.
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- W4313435504 doi "https://doi.org/10.3390/app13010633" @default.
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