Short-Term Stock Market Timing Prediction under Reinforcement Learning Schemes
This document has been relocated to http://scholarsmine.mst.edu/engman_syseng_facwork/220
There were 28 downloads as of 27 Jun 2016.
There are fundamental difficulties when only using a supervised learning philosophy to predict financial stock short-term movements. We present a reinforcement-oriented forecasting framework in which the solution is converted from a typical error-based learning approach to a goal-directed match-based learning method. The real market timing ability in forecasting is addressed as well as traditional goodness-of-fit-based criteria. We develop two applicable hybrid prediction systems by adopting actor-only and actor-critic reinforcement learning, respectively, and compare them to both a supervised-only model and a classical random walk benchmark in forecasting three daily-based stock indices series within a 21-year learning and testing period. The performance of actor-critic-based systems was demonstrated to be superior to that of other alternatives, while the proposed actor-only systems also showed efficacy