Dataset Information

Action-specialized expert ensemble trading system with extended discrete action space using deep reinforcement learning.

ABSTRACT: Despite active research on trading systems based on reinforcement learning, the development and performance of research methods require improvements. This study proposes a new action-specialized expert ensemble method consisting of action-specialized expert models designed specifically for each reinforcement learning action: buy, hold, and sell. Models are constructed by examining and defining different reward values that correlate with each action under specific conditions, and investment behavior is reflected with each expert model. To verify the performance of this technique, profits of the proposed system are compared to those of single trading and common ensemble systems. To verify robustness and account for the extension of discrete action space, we compared and analyzed changes in profits of the three actions to our model's results. Furthermore, we checked for sensitivity with three different reward functions: profit, Sharpe ratio, and Sortino ratio. All experiments were conducted with S&P500, Hang Seng Index, and Eurostoxx50 data. The model was 39.1% and 21.6% more efficient than single and common ensemble models, respectively. Considering the extended discrete action space, the 3-action space was extended to 11- and 21-action spaces, and the cumulative returns increased by 427.2% and 856.7%, respectively. Results on reward functions indicated that our models are well trained; results of the Sharpe and Sortino ratios were better than the implementation of profit only, as in the single-model cases. The Sortino ratio was slightly better than the Sharpe ratio.

SUBMITTER: Leem J

PROVIDER: S-EPMC7384672 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature

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Action-specialized expert ensemble trading system with extended discrete action space using deep reinforcement learning.

Leem JoonBum J Kim Ha Young HY

PloS one 20200727 7

Despite active research on trading systems based on reinforcement learning, the development and performance of research methods require improvements. This study proposes a new action-specialized expert ensemble method consisting of action-specialized expert models designed specifically for each reinforcement learning action: buy, hold, and sell. Models are constructed by examining and defining different reward values that correlate with each action under specific conditions, and investment behav ...[more]

PMID: 32716945

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Project description:A novel coronavirus (COVID-19) has globally attracted attention as a severe respiratory condition. The epidemic has been first tracked in Wuhan, China, and has progressively been expanded in the entire world. The growing expansion of COVID-19 around the globe has made X-ray images crucial for accelerated diagnostics. Therefore, an effective computerized system must be established as a matter of urgency, to facilitate health care professionals in recognizing X-ray images from COVID-19 patients. In this work, we design a novel artificial intelligent-based automated X-ray image analysis framework based on an ensemble of deep optimized convolutional neural networks (CNNs) in order to distinguish coronavirus patients from non-patients. By developing a modified version of gaining-sharing knowledge (GSK) optimization algorithm using the Opposition-based learning (OBL) and Cauchy mutation operators, the architectures of the deployed deep CNNs are optimized automatically without performing the general trial and error procedures. After obtaining the optimized CNNs, it is also very critical to identify how to decrease the number of ensemble deep CNN classifiers to ensure the classification effectiveness. To this end, a selective ensemble approach is proposed for COVID-19 X-ray based image classification using a deep Q network that combines reinforcement learning (RL) with the optimized CNNs. This approach increases the model performance in particular and therefore decreases the ensemble size of classifiers. The experimental results show that the proposed deep RL optimized ensemble approach has an excellent performance over two popular X-ray image based COVID-19 datasets. Our proposed advanced algorithm can accurately identify the COVID-19 patients from the normal individuals with a significant accuracy of 0.991441, precision of 0.993568, recall (sensitivity) of 0.981445, F-measure of 0.989666 and AUC of 0.990337 for Kaggle dataset as well as an excellent accuracy of 0.987742, precision of 0.984334, recall (sensitivity) of 0.989123, F-measure of 0.984939 and AUC of 0.988466 for Mendely dataset.

Dataset Information

Action-specialized expert ensemble trading system with extended discrete action space using deep reinforcement learning.

Publications

Action-specialized expert ensemble trading system with extended discrete action space using deep reinforcement learning.

Similar Datasets

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