Machine Learning for Algorithmic Trading - Second Edition

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Deep Reinforcement Learning – Building a Trading Agent

In this chapter, we'll introduce reinforcement learning (RL), which takes a different approach to machine learning (ML) than the supervised and unsupervised algorithms we have covered so far. RL has attracted enormous attention as it has been the main driver behind some of the most exciting AI breakthroughs, like AlphaGo. David Silver, AlphaGo's creator and the lead RL researcher at Google-owned DeepMind, recently won the prestigious 2019 ACM Prize in Computing "for breakthrough advances in computer game-playing." We will see that the interactive and online nature of RL makes it particularly well-suited to the trading and investment domain.

RL models goal-directed learning by an agent ...