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q-fin.TR2026
Hierarchical Graph Learning for Calendar Spread Strategies in Commodity Futures Markets
Yoonsik Hong, Diego Klabjan
Commodity futures can be represented hierarchically, with underlying assets at the upper level and individual futures contracts at the lower level. Entities at each level can be co…
q-fin.TR2023
An Ensemble Method of Deep Reinforcement Learning for Automated Cryptocurrency Trading
Shuyang Wang, Diego Klabjan
We propose an ensemble method to improve the generalization performance of trading strategies trained by deep reinforcement learning algorithms in a highly stochastic environment o…