Acquiring a Government Bond Trading Strategy Using Reinforcement Learning
Tohgoroh Matsui*, Takashi Goto**, and Kiyoshi Izumi***
*Tohgoroh Machine Learning Research Institute, Chiba, Japan
**The Bank of Tokyo-Mitsubishi UFJ, Ltd., Tokyo, Japan
***National Institute of Advanced Industrial Science and Technology, Tokyo, Japan
This paper proposes using reinforcement learning to acquire a government bond trading strategy. We applied this method to the 10-year Japanese government bond (JGB) market and confirmed that it acquires profitable trading even in extrapolation.
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