The notebook with the experiments is available here The study is a replication and enhancement of the DQN by Theate, Thibaut and Ernst, Damien(2020).
The Data is provided by me in the data directory
It's recommend to run this on a linux system.
If you are on windows, install WSL on an admin powershell: wsl --install
update your distribution: sudo apt-get update
and sudo apt-get install wget ca-certificates
. From your WSL cli, run code .
and it will open a VSCode for you. Install the VSCode WSL extension for a seamless developer experience, see their tutorial here.
Install the NVidia drivers on your Linux box.
Check if installation was good: nvidia-smi
Install TensorFlow's cuda framework: pip install tensorflow[and-cuda]
and verify the installation: python3 -c "import tensorflow as tf; print(tf.config.list_physical_devices('GPU'))"
The DQN model was inspired by the paper:
@article{theate2021application,
title={An application of deep reinforcement learning to algorithmic trading},
author={Th{\'e}ate, Thibaut and Ernst, Damien},
journal={Expert Systems with Applications},
volume={173},
pages={114632},
year={2021},
publisher={Elsevier}
}