强化学习在量化金融领域的演变

Nikolaos Pippas, Cagatay Turkay, Elliot A. Ludvig
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引用次数: 0

摘要

强化学习(RL)在过去十年中取得了长足的进步,促使人们对其在金融领域的应用越来越感兴趣。本调查对 167 篇出版物进行了严格评估,探讨了强化学习在金融领域的各种应用和框架。金融市场具有复杂性、多代理性、信息不对称和固有随机性等特点,是 RL 的一个重要试验场。传统金融学提供了一些解决方案,而 RL 则以一种更动态的方法推进了这些解决方案,并结合了机器学习方法,包括迁移学习、元学习和多代理解决方案。我们揭示了新出现的主题,提出了未来研究的领域,并对现有方法的优缺点进行了批判。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Evolution of Reinforcement Learning in Quantitative Finance
Reinforcement Learning (RL) has experienced significant advancement over the past decade, prompting a growing interest in applications within finance. This survey critically evaluates 167 publications, exploring diverse RL applications and frameworks in finance. Financial markets, marked by their complexity, multi-agent nature, information asymmetry, and inherent randomness, serve as an intriguing test-bed for RL. Traditional finance offers certain solutions, and RL advances these with a more dynamic approach, incorporating machine learning methods, including transfer learning, meta-learning, and multi-agent solutions. This survey dissects key RL components through the lens of Quantitative Finance. We uncover emerging themes, propose areas for future research, and critique the strengths and weaknesses of existing methods.
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