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| Title: | 深度強化學習之模型比較: 以股票自動交易系統為例
A Comparison of Deep Reinforcement Learning Models: The Case of Stock Automated Trading System |
| Authors: | 黃瑜萍
Huang, Yu-Ping |
| Contributors: | 蔡炎龍
蕭明福
Tsai, Yen-Lung
Shaw, Ming-Fu
黃瑜萍
Huang, Yu-Ping |
| Keywords: | 深度學習
強化學習
深度 Q 學習
匯率
股票交易
Deep learning
Reinforcement learning
Deep Q learning
Exchange rate
Stock trading |
| Date: | 2021 |
| Issue Date: | 2021-08-04 15:58:49 (UTC+8) |
| Abstract: | 本研究引入深度 Q 學習方法，建構一個自動化股票交易系統，研究範圍包含台灣股票市場 14 家科技業公司。研究期間為 2016 年 1 月 4 日至 2020年 12 月 31 日。本研究數據資料有兩種型態 (1) 股票資訊，(2) 股票資訊加上匯率參數。我們將深度 Q 學習的模型，與不同模型和其他策略相比較，以檢測深度 Q 學習是否更適用於股票交易。實證結果發現支持向量機與神經網路在實務面上難以進行股票交易操作，而深度 Q 學習的模型則具有相對好的成效。尤其，加入匯率參數的深度 Q 學習，獲得的報酬皆優於買入持有策略和台灣加權股價指數。
This research introduces the Deep Q learning model to construct an automated stock trading system. Our samples are 14 Taiwanese technology companies. Specifically, we include two types of data, (1) stock information and (2) stock information and exchange rate parameters, which are collected from the Taiwan stock market. The sampling period is from Jan 4, 2016 to Dec 31, 2020. We compare our main model, Deep Q learning, with different models and strategies to examine whether Deep Q learning is more applicable to stock trading. The empirical results show that it is difficult for Support vector machines and Neural networks to operate stock trading; however, Deep Q learning demonstrates better performance. In particular, the return rate of the Deep Q learning model is higher than the Buy-and-hold strategy and Taiwan Weighted Stock Index if considering exchange rate parameters. |
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| Description: | 碩士
國立政治大學
經濟學系
108258021 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108258021 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100671 |
| Appears in Collections: | [經濟學系] 學位論文
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