| 研究生: |
柯元富 Ko, Yuan-Fu |
|---|---|
| 論文名稱: |
Double DQN 模型應用於自動股票交易系統 Application of DDQN Model in automated stock trading system |
| 指導教授: |
蔡炎龍
Tsai, Yen-Lung |
| 口試委員: |
陳天進
Chen, Tian-Jin 張宜武 Chang, Yi-Wu |
| 學位類別: |
碩士
Master |
| 系所名稱: |
理學院 - 應用數學系 Department of Mathematical Sciences |
| 論文出版年: | 2022 |
| 畢業學年度: | 111 |
| 語文別: | 英文 |
| 論文頁數: | 38 |
| 中文關鍵詞: | 深度學習 、強化學習 、Q學習 、股票自動交易系統 |
| 外文關鍵詞: | Deep Learning, Reinforcement Learning, Q-Learning, Automated Stock Trading System |
| 相關次數: | 點閱:792 下載:53 |
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本篇文章使用強化學習與深度學習結合,打造股市自動交易系統。除了股市中的原始資料外,也加入了一些投資者常用的技術指標,給定前 10天的資料並使用全連接神經網路以及 Q 學習去訓練系統。
訓練系統時,分了兩組來訓練。第一組,把台灣 50 全部的成分股做為訓練資料,並測試其往後 2 年的表現;第二組,取台灣 50 中的 9 支電子股做為訓練資料,並測試其往後 2 年的表現。實驗結果顯示,第一組訓練成果與買入持有策略相比並無明顯差異,而第二組的表現明顯優於買入持有策略。
實驗結果證明,DQN 模型於特定情況下在股市自動交易系統會是有效的。
This article uses a combination of reinforcement learning and deep learning to create an automated stock trading system. In addition to the original data from the stock market, some technical indicators commonly used by investors are also added to the system.
When training the system, we divided it into two groups. In the first group, all constituent stocks of the Taiwan 50 were used as training data and their performance
was tested for the next 2 years. In the second group, 9 electronic stocks in the Taiwan 50 were used as training data and tested their performance for the next 2
years. The results show that there is no significant difference between the first group and the buy-and-hold strategy, while the second group significantly outperforms the buy-and-hold strategy.
The experimental results demonstrate that the DQN model is effective in certain situations in the automated stock trading system.
致謝 ii
中文摘要 iii
Abstract iv
Contents v
List of Figures vii
1 Introduction 1
2 Related work 2
3 Deep Learning 3
3.1 Deep Learning 3
3.2 Neurons and Neural Network 4
3.3 Activation Function 7
3.4 Loss Function 10
3.5 Gradient Descent 12
4 Reinforcement Learning 14
4.1 Reinforcement Learning Framework 14
4.2 Markov Decision Processes 16
4.3 Monte Carlo Method and Temporal Difference 18
5 Deep Reinforcement Learning 19
5.1 Q-Learning 19
5.2 Deep Q-Learning Network(DQN) 20
5.3 Tips For Training Q-Learning Network 21
5.4 Policy Gradient 23
6 Automated Stock Trading System 25
6.1 data preparation 25
6.1.1 two data sets 25
6.1.2 Features of data 26
6.1.3 Normalization 28
6.2 Trading System Settlement 29
6.3 Initial Parameter Settlement 30
6.4 Neural Network 30
6.5 Result 30
7 Conclusion and Future work 35
Appendix A 附錄編輯 36
A.1 附錄內容 36
Bibliography 37
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