{"id":"https://openalex.org/W4290717197","doi":"https://doi.org/10.1109/access.2022.3197165","title":"Reinforcement Learning for Stock Prediction and High-Frequency Trading With T+1 Rules","display_name":"Reinforcement Learning for Stock Prediction and High-Frequency Trading With T+1 Rules","publication_year":2022,"publication_date":"2022-08-08","ids":{"openalex":"https://openalex.org/W4290717197","doi":"https://doi.org/10.1109/access.2022.3197165"},"language":"en","primary_location":{"id":"doi:10.1109/access.2022.3197165","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2022.3197165","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/10005208/09852239.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://ieeexplore.ieee.org/ielx7/6287639/10005208/09852239.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100714328","display_name":"Weipeng Zhang","orcid":"https://orcid.org/0000-0001-7567-9271"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Weipeng Zhang","raw_affiliation_strings":["Shanghai Jiao Tong University, Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Shanghai Jiao Tong University, Shanghai, China","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102827798","display_name":"Tao Yin","orcid":"https://orcid.org/0000-0002-9198-6068"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tao Yin","raw_affiliation_strings":["Shanghai Jiao Tong University, Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Shanghai Jiao Tong University, Shanghai, China","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072070938","display_name":"Yunan Zhao","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Yunan Zhao","raw_affiliation_strings":["Ant Group, Shanghai, MYbank, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ant Group, Shanghai, MYbank, China","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069497386","display_name":"Bing Han","orcid":"https://orcid.org/0000-0002-0264-0699"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Bing Han","raw_affiliation_strings":["Ant Group, Shanghai, MYbank, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ant Group, Shanghai, MYbank, China","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5012583779","display_name":"Huanxi Liu","orcid":"https://orcid.org/0000-0002-4284-4012"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Huanxi Liu","raw_affiliation_strings":["Shanghai Jiao Tong University, Shanghai, China"],"raw_orcid":"https://orcid.org/0000-0002-4284-4012","affiliations":[{"raw_affiliation_string":"Shanghai Jiao Tong University, Shanghai, China","institution_ids":["https://openalex.org/I183067930"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":1850,"currency":"USD","value_usd":1850},"apc_paid":{"value":1850,"currency":"USD","value_usd":1850},"fwci":4.0833,"has_fulltext":true,"cited_by_count":29,"citation_normalized_percentile":{"value":0.94449605,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":100},"biblio":{"volume":"11","issue":null,"first_page":"14115","last_page":"14127"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.7064066529273987},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6758642196655273},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.6658624410629272},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.6601496934890747},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5230701565742493},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.5126184821128845},{"id":"https://openalex.org/keywords/high-frequency-trading","display_name":"High-frequency trading","score":0.4339102506637573},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.4307709336280823},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4242708086967468},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.38210994005203247},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.35944032669067383},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1823389232158661},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.15068525075912476}],"concepts":[{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.7064066529273987},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6758642196655273},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.6658624410629272},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.6601496934890747},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5230701565742493},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5126184821128845},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.4339102506637573},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.4307709336280823},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4242708086967468},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.38210994005203247},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.35944032669067383},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1823389232158661},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.15068525075912476},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/access.2022.3197165","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2022.3197165","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/10005208/09852239.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:259e9d2c2f1b46ce8dcac65fe9aff8aa","is_oa":true,"landing_page_url":"https://doaj.org/article/259e9d2c2f1b46ce8dcac65fe9aff8aa","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Access, Vol 11, Pp 14115-14127 (2023)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/access.2022.3197165","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2022.3197165","pdf_url":"https://ieeexplore.ieee.org/ielx7/6287639/10005208/09852239.pdf","source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1380861864","display_name":null,"funder_award_id":"ZH2018QNB12","funder_id":"https://openalex.org/F4320322999","funder_display_name":"Shanghai Jiao Tong University"},{"id":"https://openalex.org/G8557767084","display_name":null,"funder_award_id":"YG2022QN011","funder_id":"https://openalex.org/F4320322999","funder_display_name":"Shanghai Jiao Tong University"}],"funders":[{"id":"https://openalex.org/F4320318398","display_name":"Ant Group","ror":null},{"id":"https://openalex.org/F4320322999","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4290717197.pdf","grobid_xml":"https://content.openalex.org/works/W4290717197.grobid-xml"},"referenced_works_count":46,"referenced_works":["https://openalex.org/W46069162","https://openalex.org/W1491302875","https://openalex.org/W1812865224","https://openalex.org/W1991627876","https://openalex.org/W2103359683","https://openalex.org/W2252909801","https://openalex.org/W2317615753","https://openalex.org/W2741843135","https://openalex.org/W2790317632","https://openalex.org/W2893243898","https://openalex.org/W2897788221","https://openalex.org/W2914034186","https://openalex.org/W2938665498","https://openalex.org/W2962701603","https://openalex.org/W2965425016","https://openalex.org/W2966459188","https://openalex.org/W3015316773","https://openalex.org/W3015645915","https://openalex.org/W3030734823","https://openalex.org/W3033502151","https://openalex.org/W3034948289","https://openalex.org/W3039701618","https://openalex.org/W3090840764","https://openalex.org/W3092306034","https://openalex.org/W3121933628","https://openalex.org/W3168573424","https://openalex.org/W3175600543","https://openalex.org/W3189554159","https://openalex.org/W3209924365","https://openalex.org/W4200506897","https://openalex.org/W4225417698","https://openalex.org/W4285109203","https://openalex.org/W4289285046","https://openalex.org/W6638432125","https://openalex.org/W6676179485","https://openalex.org/W6677555207","https://openalex.org/W6692219649","https://openalex.org/W6738974942","https://openalex.org/W6740961973","https://openalex.org/W6745609711","https://openalex.org/W6756384632","https://openalex.org/W6760417198","https://openalex.org/W6762205405","https://openalex.org/W6798331393","https://openalex.org/W6801941276","https://openalex.org/W6995913406"],"related_works":["https://openalex.org/W4226227859","https://openalex.org/W2392556764","https://openalex.org/W4399587225","https://openalex.org/W2461261851","https://openalex.org/W2785550510","https://openalex.org/W1552949382","https://openalex.org/W3209680969","https://openalex.org/W2342829690","https://openalex.org/W2947561447","https://openalex.org/W2248263857"],"abstract_inverted_index":{"The":[0,25,233],"high-frequency":[1,69],"trading":[2,11,20,36,50,55,70,98,143,191,228],"framework":[3,111],"for":[4,18,133,153,175],"the":[5,22,35,42,47,66,81,90,97,104,110,176,182,189,194,200,207,224,227,244],"price":[6,32,43,82,155],"trend":[7,83,156],"prediction":[8,26,84,135],"model":[9,27,85,150],"and":[10,34,44,95,136,138,168],"strategy":[12,37,99,164],"has":[13],"been":[14],"a":[15,123,148,211],"popular":[16],"approach":[17],"T+0":[19],"in":[21,206,230,243],"stock":[23,134,154,196,246],"market.":[24,247],"is":[28,38,219],"used":[29,39],"to":[30,40,89,103,139,179,221],"predict":[31],"trends,":[33],"determine":[41],"volume":[45],"of":[46,53,68,77,163,184,188,193,202,226],"order.":[48],"Most":[49],"strategies":[51],"consist":[52],"multiple":[54],"logic":[56,229],"associated":[57],"with":[58],"certain":[59],"tuning":[60],"parameters.":[61],"These":[62],"parameters":[63,165,225],"significantly":[64],"affect":[65],"profitability":[67],"frameworks.":[71],"There":[72],"are":[73],"two":[74],"main":[75],"disadvantages":[76],"this":[78,119],"framework:":[79],"1)":[80],"can":[86,100],"not":[87,101],"adapt":[88,102],"current":[91,105],"market":[92,106],"data":[93],"distribution,":[94],"2)":[96],"conditions":[107],"automatically.":[108],"Thus,":[109],"cannot":[112],"always":[113],"maintain":[114],"positive":[115],"revenue.":[116],"To":[117],"address":[118],"problem,":[120],"we":[121,146,159,198],"propose":[122],"novel":[124],"dynamic":[125],"parameter":[126],"optimization":[127],"algorithm":[128,174,218],"based":[129],"on":[130],"reinforcement":[131,172],"learning":[132,173],"trading,":[137],"generate":[140],"an":[141,170],"adaptive":[142],"framework.":[144],"First,":[145],"use":[147],"rolling":[149],"training":[151],"method":[152,239],"prediction.":[157],"Second,":[158],"regard":[160],"each":[161,185],"set":[162],"as":[166],"action":[167],"devise":[169],"inverse":[171],"reward":[177,183,208],"function":[178],"accurately":[180],"estimate":[181],"action.":[186],"Because":[187],"T+1":[190],"rules":[192],"Chinese":[195,245],"market,":[197],"consider":[199],"constraint":[201],"limited":[203],"short":[204],"position":[205],"function.":[209],"Finally,":[210],"reward-enhanced":[212],"upper":[213],"confidence":[214],"bound":[215],"(UCB)":[216],"selection":[217],"proposed":[220],"automatically":[222],"optimize":[223],"real-time":[231],"trading.":[232],"experimental":[234],"results":[235],"show":[236],"that":[237],"our":[238],"achieves":[240],"competitive":[241],"performance":[242]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":17},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":3}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}