Date of Award
Master of Science (MS)
Economics and Finance
This research applies a deep reinforcement learning technique, Deep Q-network, to a stock market pairs trading strategy for profit. Artificial intelligent methods have long since been applied to optimize trading strategies. This work trains and tests a DQN to trade co-integrated stock market prices, in a pairs trading strategy. The results demonstrate the DQN is able to consistently produce positive returns when executing a pairs trading strategy.
Brim, Andrew, "Deep Reinforcement Learning Pairs Trading" (2019). All Graduate Plan B and other Reports. 1425.
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