Explicit Bandwidth Learning for FOREX Trading Using Deep Reinforcement Learning

Angelos Nalmpantis

doi:10.1109/LSP.2025.3528365

2025-01-01

PRE

Angelos Nalmpantis *

Nikolaos Passalis

Anastasios Tefas

DOI：10.1109/LSP.2025.3528365

原文链接

原文求助

摘要

En 中文

Financial time series are sequences of price observations related to financial assets collected over time. Deep Learning (DL) is currently standing as the predominant approach for addressing various time series tasks, including problems in finance, such as the development of trading agents using Deep Reinforcement Learning (DRL). However, the noisy and temporal nature of such data as well as their non-stationarity pose substantial challenges to current methodologies. DL models suffer from overfitting noise, frequently arising from the absence of strong priors. In this paper, we address the instability of trading DRL agents due to noise by proposing an end-to-end hybrid trainable filtering and feature extraction approach. The proposed method employs Gaussian filters as priors and can be attached at the beginning of any DL architecture forming a hybrid model-based and data-driven model that can directly process the raw input data. The bandwidth of the filters is determined through the learning process, ultimately allowing the agent to autonomously determine the optimal bandwidth for the task and data at hand, without requiring any additional supervision. Moreover, the proposed method leverages high-order derivatives to address the non-stationarity of financial data and provides multiple views of the input signal efficiently utilized by the subsequent model. We conduct experiments with a plethora of financial assets from the Foreign Exchange Market (FOREX) and demonstrate the method's efficiency when compared to alternative processing pipelines.

Keyword:

Bandwidth

Noise

Training

Low-pass filters

Time series analysis

Noise reduction

Kernel

Deep reinforcement learning

Neurons

Information filters

financial trading