April 2018
Intermediate to advanced
334 pages
10h 18m
English
Content preview from Reinforcement Learning with TensorFlow
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Data preparation
The trading experiment is tested in a cryptocurrency exchange called Poloniex. In order to test the current approach, m = 11 non-cash assets having the highest volume are pre-selected for the portfolio. Since the first base asset is cash, that is Bitcoin, the size of the portfolio is m+1 = 12. If we had tested in a market with larger volumes, such as foreign exchange market, there m would be as large as the total number of assets in the market.
Historical data of the assets is fed into a neural network, which outputs a portfolio weight vector. Input to a neural network at the end of period t is a tensor 
, of rank 3 with shape ...
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