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q-fin.CP2023★ 1 cited
Mastering Pair Trading with Risk-Aware Recurrent Reinforcement Learning
Weiguang Han, Jimin Huang, Qianqian Xie +3
Although pair trading is the simplest hedging strategy for an investor to eliminate market risk, it is still a great challenge for reinforcement learning (RL) methods to perform pa…
q-fin.CP2023
Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning
Weiguang Han, Boyi Zhang, Qianqian Xie +3
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose t…