International Business Machines Corporation
Autonomous trading with memory enabled neural network learning

Abstract:

A computer-implemented method is provided for autonomously making continuous trading decisions for assets using a first eligibility trace enabled Neural Network (NN). The method includes pretraining the first eligibility trace enabled NN, using asset price time series data, to generation predictions of future asset price time series data. The method further includes initializing a second eligibility trace enabled NN for reinforcement learning using learned parameters of the first eligibility trace enabled NN. The method also includes augmenting state information of the second eligibility trace enabled NN for reinforcement learning using an output from the first eligibility trace enabled NN. The method additionally includes performing continuous actions for trading assets at each of multiple time points.