CNN-DRL with Shuffled Features in Finance

ArXiv ID: 2402.03338 “View on arXiv”

Authors: Unknown

Abstract

In prior methods, it was observed that the application of Convolutional Neural Networks agent in Deep Reinforcement Learning to financial data resulted in an enhanced reward. In this study, a specific permutation was applied to the feature vector, thereby generating a CNN matrix that strategically positions more pertinent features in close proximity. Our comprehensive experimental evaluations unequivocally demonstrate a substantial enhancement in reward attainment.

Keywords: Deep Reinforcement Learning, Convolutional Neural Networks (CNN), Feature Engineering, Algorithmic Trading, General Equities

Complexity vs Empirical Score

• Math Complexity: 4.0/10
• Empirical Rigor: 6.5/10
• Quadrant: Street Traders
• Why: The paper uses standard DRL and CNN concepts without heavy derivations or novel math, keeping complexity moderate, while it employs a concrete financial environment, specific features, and backtest-ready metrics like Sharpe ratio and reward tracking, indicating solid empirical rigor.

  flowchart TD
    A["Research Goal: Enhance DRL Reward in Financial Markets"] --> B["Data Input: Financial Time Series Data"]
    B --> C["Feature Engineering: Apply Strategic Permutation to Features"]
    C --> D["CNN-DRL Processing: Convolutional Neural Network on Permuted Data"]
    D --> E["Computational Process: Deep Reinforcement Learning Agent"]
    E --> F["Outcome: Substantial Enhancement in Reward Attainment"]