Pairs Trading Strategy Optimization Using Proximal Policy Optimization Algorithms
Author:
Affiliation:
1. National Yang Ming Chiao Tung University,Department of Computer Science,Hsinchu,Taiwan
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10066534/10066540/10066541.pdf?arnumber=10066541
Reference30 articles.
1. The profitability of pairs trading strategies: distance, cointegration and copula methods
2. Pairs trading strategy optimization using the reinforcement learning method: a cointegration approach
3. Structural break-aware pairs trading strategy using deep reinforcement learning;lu;Journal of Supercomputing,2021
4. The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity
5. Curriculum offline imitating learning;liu;Proceedings of the 35th Conference on Neural Information Processing Systems (NeurIPS),2021
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