August 2022
Intermediate to advanced
394 pages
12h 32m
Chinese
Content preview from 金融人工智能：用Python实现AI量化交易
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220
｜
第
9
章
9.7
更好的金融沙箱
上一节的目的是开发一个简单的类，该类允许在金融市场环境中进行强化学习。本节的
主要目标是复制
OpenAI Gym
环境的
API
。然而
，没有必要将这样的环境限制为以单一
类型的特征来描述金融市场的状态，也没有必要只使用
4
个滞后项
。本节介绍了改进的
Finance
类，该类允许使用多个特征和灵活长度的滞后项，以及为所用基本数据集指定起
点和终点。这将允许将数据集的一部分用于学习，另一部分用于验证或测试。下面提供的
Python
代码也允许使用杠杆
，当日内数据被认为具有相对较小的绝对收益率时，这可能会
有所帮助。
In [64]: class Finance:
url = 'http://hilpisch.com/aiif_eikon_eod_data.csv'
def __init__(self, symbol, features, window, lags,
leverage=1, min_performance=0.85,
start=0, end=None, mu=None, std=None):
self.symbol = symbol
self.features = features
➊
self.n_features = len(features)
self.window = window
self.lags = lags
➊
self.leverage = leverage
➋
self.min_performance = min_performance ...
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