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Volume 14 / Issue 7

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DOI:   10.3217/jucs-014-07-1136


Reinforcement Learning on a Futures Market Simulator

Koichi Moriyama (Osaka University, Japan)

Mitsuhiro Matsumoto (Osaka University, Japan)

Ken-ichi Fukui (Osaka University, Japan)

Satoshi Kurihara (Osaka University, Japan)

Masayuki Numao (Osaka University, Japan)

Abstract: In recent years, market forecasting by machine learning methods has been flourishing.Most existing works use a past market data set, because they assume that each trader's individual decisions do not affect market prices at all. Meanwhile, there have been attempts to analyzeeconomic phenomena by constructing virtual market simulators, in which human and artificial traders really make trades. Since prices in a market are, in fact, determined by every trader'sdecisions, a virtual market is more realistic, and the above assumption does not apply. In this work, we design several reinforcement learners on the futures market simulator U-Mart (UnrealMarket as an Artificial Research Testbed) and compare our learners with the previous champions of U-Mart competitions empirically.

Keywords: market simulation, reinforcement learning

Categories: I.2.6, I.6.8