Financial Trading Systems: Is Recurrent Reinforcement Learning the Way?

Financial Trading Systems: Is Recurrent Reinforcement Learning the Way?

Francesco Bertoluzzo (University of Padua, Italy) and Marco Corazza (University Ca’Foscari of Venice, Italy & School for Advanced Studies in Venice Foundation, Italy)
DOI: 10.4018/978-1-59904-627-3.ch015
OnDemand PDF Download:


In this chapter we propose a financial trading system whose trading strategy is developed by means of an artificial neural network approach based on a learning algorithm of the recurrent reinforcement type. In general terms, this kind of approach consists, first, of directly specifying a trading policy based on some predetermined investor’s measure of profitability, and second, of directly setting the financial trading system while using it. In particular, with respect to the prominent literature, in this contribution we take into account as a measure of profitability the reciprocal of the returns weighted direction symmetry index instead of the widespread Sharpe ratio, and we obtain the differential version of the measure of profitability we consider and all the related learning relationships. Finally, we propose a simple procedure for the management of drawdown-like phenomena, and finally, we apply our financial trading approach to some of the most prominent assets of the Italian stock market.

Complete Chapter List

Search this Book:
Table of Contents
Walter J. Freeman
Franco F. Orsucci, Nicoletta Sala
Chapter 1
Reflexing Interfaces  (pages 1-20)
Franco Orsucci
Since the first production of tools at the beginning of human presence on Earth, evolutionary jumps mark human development. Sometimes these... Sample PDF
Reflexing Interfaces
Chapter 2
Terry Marks-Tarlow
This chapter interprets the myth of Oedipus in light of interpersonal neurobiology and second-order cybernetics, where observers are... Sample PDF
Riddle of the Sphinx: Paradox Revealed and Reveiled
Chapter 3
Vladimir Kvasnicka, Jiri Pospichal
This chapter proposes a simple replicator theory of the coevolution of genes and memes. The presented coevolutionary theory assumes that units of... Sample PDF
Theory of Cooperative Coevolution of Genes and Memes
Chapter 4
Franco Scalzone, Gemma Zontini
In this chapter we will examine some similarities between computer science and psychoanalysis, and we will formulate some hypotheses by bringing... Sample PDF
Thinking Animals and Thinking Machines: What Relations? (with Particular Reference to the Psychoanalytical Point of View)
Chapter 5
John G. Taylor
Attention is analyzed as the superior control system in the brain from an engineering point of view, with support for this from the way attention is... Sample PDF
Machines Paying Attention
Chapter 6
Artificial Mind  (pages 83-93)
Rita M.R. Pizzi
The advances of artificial intelligence (AI) have renewed the interest in the mind-body problem, the ancient philosophical debate on the nature of... Sample PDF
Artificial Mind
Chapter 7
David Vernon
This chapter introduces neurofeedback as a mechanism for altering human brain functioning and in turn influencing behavior. It argues that... Sample PDF
Neurofeedback: Using Computer Technology to Alter Brain Functioning
Chapter 8
Eleonora Bilotta, Pietro Pantano
This chapter presents an artificial taxonomy of 2-D, self-replicating cellular automata (CA) that can be considered as proto-organisms for structure... Sample PDF
Biological Traits in Artificial Self-Reproducing Systems
Chapter 9
Marco Tomassini, Leonardo Vanneschi
In the first part of the chapter, evolutionary algorithms are briefly described, especially genetic algorithms and genetic programming, with... Sample PDF
Evolutionary Algorithms in Problem Solving and Machine Learning
Chapter 10
Hector Sabelli, Gerald H. Thomas
Quantum computing forces a reexamination of logic. We examine its historical roots in logos, the logic of nature, and it is manifested by the laws... Sample PDF
The Future Quantum Computer: Biotic Complexity
Chapter 11
Alessandro Giuliani
The term network is more and more widespread in all the fields of human investigation from physics to sociology. It evokes a systemic approach to... Sample PDF
Networks: Uses and Misuses of an Emergent Paradigm
Chapter 12
Gianni A. Di Caro, Frederick Ducatelle, Luca M. Gambardella
Modern telecommunication networks are becoming increasingly complex and dynamic. This is due to their size and heterogeneity, and to the complex... Sample PDF
Theory and Practice of Ant-Based Routing in Dynamic Telecommunication Networks
Chapter 13
Santo Banerjee, Asesh Roy Chowdhury
The idea of using synchronized chaotic circuits for sending and receiving signals when they are masked using classical cryptography is extended to... Sample PDF
Cryptography, Delayed Dynamical Systems, and Secure Communication
Chapter 14
Lean Yu, Shouyang Wang, Kin Keung Lai
In this study, a double-stage evolutionary algorithm is proposed for portfolio optimization. In the first stage, a genetic algorithm is used to... Sample PDF
Portfolio Optimization Using Evolutionary Algorithms
Chapter 15
Francesco Bertoluzzo, Marco Corazza
In this chapter we propose a financial trading system whose trading strategy is developed by means of an artificial neural network approach based on... Sample PDF
Financial Trading Systems: Is Recurrent Reinforcement Learning the Way?
Chapter 16
Leonardo Castellano, Walter Ambrosetti, Nicoletta Sala
The aim of this chapter is to discuss how far computational fluid dynamics (CFD) is currently able to simulate the limnological physics of a complex... Sample PDF
About the Use of Computational Fluid Dynamics (CFD) in the Framework of Physical Limnological Studies on a Great Lake
Chapter 17
Renato Saleri Lunazzi
The main goal of this chapter is to present a research project that consists of applying automatic generative methods in design processes. The... Sample PDF
Urban and Architectural 3-D Fast Processing
Chapter 18
Ljubiša M. Kocic, Liljana R. Stefanovska
This chapter considers a relationship between spirals as proto-complex shapes and human intelligence organized in an information system (IS). We... Sample PDF
Reflections of Spiral Complexity on Art
Chapter 19
Nicoletta Sala
Fractal geometry can help us to describe the shapes in nature (e.g., ferns, trees, seashells, rivers, mountains) exceeding the limits imposed by... Sample PDF
Fractal Geometry and Computer Science
About the Contributors