Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/166624
Title: Probability distortion of truncated quantile critics for stock trading environment
Authors: Foo, Marcus Jun Rong
Keywords: Business::Finance::Asset allocation
Engineering::Computer science and engineering::Mathematics of computing
Issue Date: 2023
Publisher: Nanyang Technological University
Source: Foo, M. J. R. (2023). Probability distortion of truncated quantile critics for stock trading environment. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/166624
Abstract: This paper proposes the use of Cumulative Prospect Theory (CPT) in combination with Truncated Quantile Critics (TQC) for stock trading. CPT is a popular model of decision making under risk that has been shown to better describe human behavior than traditional models such as expected utility theory. TQC is a variant of the popular Quantile Regression DQN algorithm that has been shown to be more sample efficient. By combining these two models, our approach aims to better capture the decision making process of human traders. Furthermore, we incorporate Prelec weighting as a side study to mitigate time inconsistency in decision making. Our experiments in stock trading show that our proposed approach outperforms traditional methods in various portfolio metrics.
URI: https://hdl.handle.net/10356/166624
Schools: School of Computer Science and Engineering 
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SCSE Student Reports (FYP/IA/PA/PI)

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