CERS-DR : cycle-based ETF rotation strategy with dynamic rebalancing with the application of reinforcement learning and neural network

• Main Author: Miharja, Toni
• Other Authors: Quek Hiok Chai
• Format: Final Year Project
• Language: English
• Published: 2019
• Subjects: DRNTU::Engineering::Computer science and engineering::Computing methodologies::Artificial intelligence
• Online Access: http://hdl.handle.net/10356/77025
• Institution: Nanyang Technological University

It is widely studied and acknowledged that the economy moves in cycles. The business cycle is defined as the natural fluctuation of the economy between periods of expansion and contraction. Following this business cycle, specific industries can outperform or underperform at different phases. As a le...