Jing-You Lu, Hsu-Chao Lai, Wen-Yueh Shih, Yi Feng Chen, Shen-Hang Huang, Hao Han Chang, Jun-Zhe Wang, Jiun-Long Huang, Tian-Shyr Dai. Structural break-aware pairs trading strategy using deep reinforcement learning. The Journal of Supercomputing, 78(3):3843-3882, 2022. [doi]
Abstract is missing.