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]
@article{LuLSCHCWHD22,
title = {Structural break-aware pairs trading strategy using deep reinforcement learning},
author = {Jing-You Lu and Hsu-Chao Lai and Wen-Yueh Shih and Yi Feng Chen and Shen-Hang Huang and Hao Han Chang and Jun-Zhe Wang and Jiun-Long Huang and Tian-Shyr Dai},
year = {2022},
doi = {10.1007/s11227-021-04013-x},
url = {https://doi.org/10.1007/s11227-021-04013-x},
researchr = {https://researchr.org/publication/LuLSCHCWHD22},
cites = {0},
citedby = {0},
journal = {The Journal of Supercomputing},
volume = {78},
number = {3},
pages = {3843-3882},
}