论文标题

经常性强化学习加密代理

The Recurrent Reinforcement Learning Crypto Agent

论文作者

Borrageiro, Gabriel, Firoozye, Nick, Barucca, Paolo

论文摘要

我们展示了在线转移学习对数字资产交易代理商的新颖应用。该代理以回声状态网络的形式使用强大的功能空间表示形式,其输出可用于直接的,反复的加固学习代理。该代理商学会了在BITMEX上以日内交易XBTUSD(比特币与美元)永久交换衍生物合同。通过从对二次风险调整的公用事业的多种影响来源中学习,该实用程序旨在最大化,代理商避免过度超额交易,捕获资金利润并可以预测市场的方向。总体而言,我们的加密代理商在大约五年内实现了350 \%的总回报率,净额净,其中71 \%取决于资金利润。其实现的年度信息比为1.46。

We demonstrate a novel application of online transfer learning for a digital assets trading agent. This agent uses a powerful feature space representation in the form of an echo state network, the output of which is made available to a direct, recurrent reinforcement learning agent. The agent learns to trade the XBTUSD (Bitcoin versus US Dollars) perpetual swap derivatives contract on BitMEX on an intraday basis. By learning from the multiple sources of impact on the quadratic risk-adjusted utility that it seeks to maximise, the agent avoids excessive over-trading, captures a funding profit, and can predict the market's direction. Overall, our crypto agent realises a total return of 350\%, net of transaction costs, over roughly five years, 71\% of which is down to funding profit. The annualised information ratio that it achieves is 1.46.

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