Learning FX trading strategies with FQI and persistent actions

Author:

Riva Antonio1,Bisi Lorenzo1,Liotet Pierre1,Sabbioni Luca1,Vittori Edoardo1,Pinciroli Marco2,Trapletti Michele2,Restelli Marcello1

Affiliation:

1. Politecnico di Milano

2. Intesa Sanpaolo

Publisher

ACM

Reference35 articles.

1. W Andrew . 2004. Lo. The adaptive markets hypothesis. The journal of portfolio management 30, 5 ( 2004 ), 15--29. W Andrew. 2004. Lo. The adaptive markets hypothesis. The journal of portfolio management 30, 5 (2004), 15--29.

2. Vangelis Bacoyannis , Vacslav Glukhov , Tom Jin , Jonathan Kochems , and Doo Re Song . 2018. Idiosyncrasies and challenges of data driven learning in electronic trading. arXiv preprint arXiv:1811.09549 ( 2018 ). Vangelis Bacoyannis, Vacslav Glukhov, Tom Jin, Jonathan Kochems, and Doo Re Song. 2018. Idiosyncrasies and challenges of data driven learning in electronic trading. arXiv preprint arXiv:1811.09549 (2018).

3. Stefan Banach . 1922. Sur les opérations dans les ensembles abstraits et leur application aux équations intégrales. Fund. math 3, 1 ( 1922 ), 133--181. Stefan Banach. 1922. Sur les opérations dans les ensembles abstraits et leur application aux équations intégrales. Fund. math 3, 1 (1922), 133--181.

4. Foreign exchange trading

5. L Bisi , L Sabbioni , E Vittori , M Papini , and M Restelli . 2020 . Risk-Averse Trust Region Optimization for Reward-Volatility Reduction. In 29th International Joint Conference on Artificial Intelligence, IJCAI 2020. 4583--4589. L Bisi, L Sabbioni, E Vittori, M Papini, and M Restelli. 2020. Risk-Averse Trust Region Optimization for Reward-Volatility Reduction. In 29th International Joint Conference on Artificial Intelligence, IJCAI 2020. 4583--4589.

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1. Addressing Non-Stationarity in FX Trading with Online Model Selection of Offline RL Experts;3rd ACM International Conference on AI in Finance;2022-10-26

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