{"id":"https://openalex.org/W2012519645","doi":"https://doi.org/10.1109/cec.2014.6900330","title":"Two parameter update schemes for recurrent reinforcement learning","display_name":"Two parameter update schemes for recurrent reinforcement learning","publication_year":2014,"publication_date":"2014-07-01","ids":{"openalex":"https://openalex.org/W2012519645","doi":"https://doi.org/10.1109/cec.2014.6900330","mag":"2012519645"},"language":"en","primary_location":{"id":"doi:10.1109/cec.2014.6900330","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2014.6900330","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100405936","display_name":"Jin Zhang","orcid":"https://orcid.org/0000-0002-0946-5520"},"institutions":[{"id":"https://openalex.org/I1850255","display_name":"University of Basel","ror":"https://ror.org/02s6k3f65","country_code":"CH","type":"education","lineage":["https://openalex.org/I1850255"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Jin Zhang","raw_affiliation_strings":["Faculty of Business and Economics, University of Basel, Switzerland","Faculty of Business and Economics, University of Basel, Peter Merian-Weg 6, CH-4002, Switzerland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Business and Economics, University of Basel, Switzerland","institution_ids":["https://openalex.org/I1850255"]},{"raw_affiliation_string":"Faculty of Business and Economics, University of Basel, Peter Merian-Weg 6, CH-4002, Switzerland","institution_ids":["https://openalex.org/I1850255"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045156338","display_name":"Dietmar Maringer","orcid":null},"institutions":[{"id":"https://openalex.org/I1850255","display_name":"University of Basel","ror":"https://ror.org/02s6k3f65","country_code":"CH","type":"education","lineage":["https://openalex.org/I1850255"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Dietmar Maringer","raw_affiliation_strings":["Faculty of Business and Economics, University of Basel, Switzerland","Faculty of Business and Economics, University of Basel, Peter Merian-Weg 6, CH-4002, Switzerland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Business and Economics, University of Basel, Switzerland","institution_ids":["https://openalex.org/I1850255"]},{"raw_affiliation_string":"Faculty of Business and Economics, University of Basel, Peter Merian-Weg 6, CH-4002, Switzerland","institution_ids":["https://openalex.org/I1850255"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I1850255"],"apc_list":null,"apc_paid":null,"fwci":0.4489,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.58584807,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"1449","last_page":"1453"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9991999864578247,"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":0.9991999864578247,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9879999756813049,"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"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9871000051498413,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.7222892642021179},{"id":"https://openalex.org/keywords/profitability-index","display_name":"Profitability index","score":0.6756101846694946},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6645724177360535},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6496700048446655},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.6423560380935669},{"id":"https://openalex.org/keywords/autocorrelation","display_name":"Autocorrelation","score":0.5813664197921753},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.5585814118385315},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.5295955538749695},{"id":"https://openalex.org/keywords/exploit","display_name":"Exploit","score":0.5093980431556702},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.48969486355781555},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4853438436985016},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.48464804887771606},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.47614502906799316},{"id":"https://openalex.org/keywords/high-frequency-trading","display_name":"High-frequency trading","score":0.44600266218185425},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.3711143732070923},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.3134128153324127},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.21915403008460999},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.20364254713058472},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2033192217350006},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.19951596856117249},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.18037018179893494},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.09259006381034851},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.08800387382507324},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.08125317096710205}],"concepts":[{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.7222892642021179},{"id":"https://openalex.org/C129361004","wikidata":"https://www.wikidata.org/wiki/Q2470236","display_name":"Profitability index","level":2,"score":0.6756101846694946},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.6645724177360535},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6496700048446655},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.6423560380935669},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.5813664197921753},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5585814118385315},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.5295955538749695},{"id":"https://openalex.org/C165696696","wikidata":"https://www.wikidata.org/wiki/Q11287","display_name":"Exploit","level":2,"score":0.5093980431556702},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.48969486355781555},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4853438436985016},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.48464804887771606},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.47614502906799316},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.44600266218185425},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.3711143732070923},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.3134128153324127},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.21915403008460999},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.20364254713058472},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2033192217350006},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.19951596856117249},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18037018179893494},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.09259006381034851},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.08800387382507324},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.08125317096710205},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cec.2014.6900330","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cec.2014.6900330","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Congress on Evolutionary Computation (CEC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320924","display_name":"Schweizerischer Nationalfonds zur F\u00f6rderung der Wissenschaftlichen Forschung","ror":"https://ror.org/00yjd3n13"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":6,"referenced_works":["https://openalex.org/W1996342763","https://openalex.org/W2018964251","https://openalex.org/W2036750255","https://openalex.org/W2119259871","https://openalex.org/W2171916252","https://openalex.org/W4242461611"],"related_works":["https://openalex.org/W4226227859","https://openalex.org/W2491678934","https://openalex.org/W2553031590","https://openalex.org/W4224329202","https://openalex.org/W4399587225","https://openalex.org/W2461261851","https://openalex.org/W4400259839","https://openalex.org/W3122388746","https://openalex.org/W3015595311","https://openalex.org/W2772541354"],"abstract_inverted_index":{"Recurrent":[0],"reinforcement":[1],"learning":[2,7],"(RRL)":[3],"is":[4,27,62,97,153],"a":[5,46,63],"machine":[6],"algorithm":[8],"which":[9],"has":[10],"been":[11],"proposed":[12],"by":[13,137],"researchers":[14],"for":[15,68,89,144],"constructing":[16],"financial":[17,32],"trading":[18,25,49,104,119,133,174],"platforms.":[19],"When":[20],"an":[21],"analysis":[22],"of":[23,71,93,102,131,141,159],"RRL":[24,67,173],"performance":[26,101],"conducted":[28],"using":[29,138],"low":[30],"frequency":[31,58],"data":[33],"(e.g.":[34],"daily":[35,72],"data),":[36],"the":[37,69,86,94,132,145,156,160,166,172],"weakening":[38],"autocorrelation":[39],"in":[40,48,56,114,171],"price":[41],"changes":[42],"may":[43],"lead":[44],"to":[45,53,65,98,110,117,149],"decrease":[47],"profits":[50],"as":[51],"compared":[52],"its":[54],"applications":[55],"high":[57],"trading.":[59,74],"There":[60],"therefore":[61],"need":[64],"improve":[66,99,118],"purposes":[70],"equity":[73],"This":[75],"paper":[76],"presents":[77],"two":[78,167],"parameter":[79,168],"update":[80,169],"schemes":[81,170],"(the":[82],"`average":[83],"elitist'":[84],"and":[85,129],"`multiple":[87],"elitist')":[88],"RRL.":[90],"The":[91,106],"purpose":[92],"first":[95],"scheme":[96,108],"out-of-sample":[100],"RRL-type":[103],"systems.":[105],"second":[107],"aims":[109],"exploit":[111],"serial":[112],"dependence":[113],"stock":[115],"returns":[116],"performance,":[120],"when":[121],"traders":[122],"deal":[123],"with":[124],"highly":[125],"correlated":[126],"stocks.":[127],"Profitability":[128],"stability":[130],"system":[134],"are":[135],"examined":[136],"four":[139],"groups":[140],"S&P":[142],"stocks":[143,161],"period":[146],"January":[147],"2009":[148],"December":[150],"2012.":[151],"It":[152],"found":[154],"that":[155],"Sharpe":[157],"ratios":[158],"increase":[162],"after":[163],"we":[164],"use":[165],"system.":[175]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}