PRUDEX-Compass: Towards systematic evaluation of reinforcement learning in financial markets

• Main Authors: SUN, Shuo, QIN, Molei, WANG, Xinrun, AN, Bo
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Artificial Intelligence and Robotics; Finance and Financial Management; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/9043; https://ink.library.smu.edu.sg/context/sis_research/article/10046/viewcontent/Prudex_pvoa_cc_by.pdf
• Institution: Singapore Management University

The financial markets, which involve more than $90 trillion market capitals, attract the attention of innumerable investors around the world. Recently, reinforcement learning in financial markets (FinRL) has emerged as a promising direction to train agents for making profitable investment decisions....