{"id":"https://openalex.org/W4387878359","doi":"https://doi.org/10.3233/faia230667","title":"Navigating Black Swan Events in Algorithmic Trading: A Reinforcement Learning Perspective","display_name":"Navigating Black Swan Events in Algorithmic Trading: A Reinforcement Learning Perspective","publication_year":2023,"publication_date":"2023-10-19","ids":{"openalex":"https://openalex.org/W4387878359","doi":"https://doi.org/10.3233/faia230667"},"language":"en","primary_location":{"id":"doi:10.3233/faia230667","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230667","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230667","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230667","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102736224","display_name":"Fernando Villamar\u00edn D\u00edaz","orcid":"https://orcid.org/0009-0000-1877-5902"},"institutions":[{"id":"https://openalex.org/I5593406","display_name":"Universitat Ramon Llull","ror":"https://ror.org/04p9k2z50","country_code":"ES","type":"education","lineage":["https://openalex.org/I5593406"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Fernando Villamar\u00edn D\u00edaz","raw_affiliation_strings":["HER \u2013 Human-Environment Research Group, La Salle \u2013 Universitat Ramon Llull, Barcelona, Spain, Quatre Camins, 30, 08022 Barcelona, Spain"],"raw_orcid":"https://orcid.org/0009-0000-1877-5902","affiliations":[{"raw_affiliation_string":"HER \u2013 Human-Environment Research Group, La Salle \u2013 Universitat Ramon Llull, Barcelona, Spain, Quatre Camins, 30, 08022 Barcelona, Spain","institution_ids":["https://openalex.org/I5593406"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5042936353","display_name":"Carlos Guerrero-Mosquera","orcid":"https://orcid.org/0000-0001-8265-3651"},"institutions":[{"id":"https://openalex.org/I5593406","display_name":"Universitat Ramon Llull","ror":"https://ror.org/04p9k2z50","country_code":"ES","type":"education","lineage":["https://openalex.org/I5593406"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Carlos Guerrero-Mosquera","raw_affiliation_strings":["HER \u2013 Human-Environment Research Group, La Salle \u2013 Universitat Ramon Llull, Barcelona, Spain, Quatre Camins, 30, 08022 Barcelona, Spain"],"raw_orcid":"https://orcid.org/0000-0001-8265-3651","affiliations":[{"raw_affiliation_string":"HER \u2013 Human-Environment Research Group, La Salle \u2013 Universitat Ramon Llull, Barcelona, Spain, Quatre Camins, 30, 08022 Barcelona, Spain","institution_ids":["https://openalex.org/I5593406"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5102736224"],"corresponding_institution_ids":["https://openalex.org/I5593406"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.5008785,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9972000122070312,"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":0.9972000122070312,"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":0.980400025844574,"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":0.9639000296592712,"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/reinforcement-learning","display_name":"Reinforcement learning","score":0.8163305521011353},{"id":"https://openalex.org/keywords/crash","display_name":"Crash","score":0.6518415808677673},{"id":"https://openalex.org/keywords/period","display_name":"Period (music)","score":0.6448006629943848},{"id":"https://openalex.org/keywords/perspective","display_name":"Perspective (graphical)","score":0.5754018425941467},{"id":"https://openalex.org/keywords/black-swan-theory","display_name":"Black swan theory","score":0.5502486228942871},{"id":"https://openalex.org/keywords/sample","display_name":"Sample (material)","score":0.5226894617080688},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.5040399432182312},{"id":"https://openalex.org/keywords/event","display_name":"Event (particle physics)","score":0.49801111221313477},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.48276272416114807},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4702155888080597},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.4384789764881134},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.25431233644485474},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1872917115688324},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17786425352096558},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12694516777992249},{"id":"https://openalex.org/keywords/art","display_name":"Art","score":0.04848650097846985}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.8163305521011353},{"id":"https://openalex.org/C183469790","wikidata":"https://www.wikidata.org/wiki/Q333501","display_name":"Crash","level":2,"score":0.6518415808677673},{"id":"https://openalex.org/C2781291010","wikidata":"https://www.wikidata.org/wiki/Q178580","display_name":"Period (music)","level":2,"score":0.6448006629943848},{"id":"https://openalex.org/C12713177","wikidata":"https://www.wikidata.org/wiki/Q1900281","display_name":"Perspective (graphical)","level":2,"score":0.5754018425941467},{"id":"https://openalex.org/C198036527","wikidata":"https://www.wikidata.org/wiki/Q2074634","display_name":"Black swan theory","level":2,"score":0.5502486228942871},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.5226894617080688},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.5040399432182312},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.49801111221313477},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.48276272416114807},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4702155888080597},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.4384789764881134},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.25431233644485474},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1872917115688324},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17786425352096558},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12694516777992249},{"id":"https://openalex.org/C142362112","wikidata":"https://www.wikidata.org/wiki/Q735","display_name":"Art","level":0,"score":0.04848650097846985},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C107038049","wikidata":"https://www.wikidata.org/wiki/Q35986","display_name":"Aesthetics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3233/faia230667","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230667","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230667","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"}],"best_oa_location":{"id":"doi:10.3233/faia230667","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3233/faia230667","pdf_url":"https://ebooks.iospress.nl/pdf/doi/10.3233/FAIA230667","source":{"id":"https://openalex.org/S4210201731","display_name":"Frontiers in artificial intelligence and applications","issn_l":"0922-6389","issn":["0922-6389","1879-8314"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence and Applications","raw_type":"book-chapter"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4387878359.pdf","grobid_xml":"https://content.openalex.org/works/W4387878359.grobid-xml"},"referenced_works_count":10,"referenced_works":["https://openalex.org/W1757796397","https://openalex.org/W1914219707","https://openalex.org/W1980035368","https://openalex.org/W2183112036","https://openalex.org/W2284276045","https://openalex.org/W2344786740","https://openalex.org/W2941903151","https://openalex.org/W2949846483","https://openalex.org/W3035768590","https://openalex.org/W4298857966"],"related_works":["https://openalex.org/W2090993525","https://openalex.org/W2016340530","https://openalex.org/W4226402370","https://openalex.org/W4288051106","https://openalex.org/W4385414488","https://openalex.org/W2269458749","https://openalex.org/W3127128148","https://openalex.org/W4386181907","https://openalex.org/W2285963864","https://openalex.org/W4300283503"],"abstract_inverted_index":{"This":[0],"study":[1],"evaluates":[2],"Reinforcement":[3],"Learning":[4],"(RL)":[5],"techniques":[6,103],"for":[7],"financial":[8,105],"trading":[9,106],"during":[10,60,91],"unpredictable":[11],"market":[12,70],"conditions,":[13],"such":[14],"as":[15],"black":[16,66,93],"swan":[17,67,94],"events.":[18],"Three":[19],"experiments":[20],"were":[21,27,38,51],"conducted:":[22],"one":[23,48],"where":[24,36,49],"the":[25,32,46,84,92,99,108],"algorithms":[26],"trained":[28,39,52],"and":[29,40,45,57],"tested":[30,41,59],"over":[31,42,53],"same":[33],"period;":[34],"another":[35],"they":[37,50],"different":[43],"periods;":[44],"final":[47],"a":[54,61,65],"certain":[55],"period":[56,62],"then":[58],"that":[63,77],"included":[64],"event":[68],"(the":[69],"crash":[71],"of":[72,101],"March":[73],"2020).":[74],"Results":[75],"show":[76,98],"RL":[78,102],"methods":[79],"outperform":[80],"traditional":[81],"strategies":[82],"in":[83,104],"in-sample":[85],"period,":[86],"but":[87],"struggle":[88],"to":[89],"adapt":[90],"event.":[95],"The":[96],"results":[97],"potential":[100],"with":[107],"right":[109],"approach.":[110]},"counts_by_year":[],"updated_date":"2025-12-25T23:11:45.687758","created_date":"2025-10-10T00:00:00"}