همایش بین المللی هوش مصنوعی

صفحه اصلی / دومین همایش بین المللی هوش مصنوعی

Robust Algorithmic Trading in Volatile Markets Using Pessimistic Transformer-Enhanced TD3 in Continuous Action Spaces

نویسندگان :

Amirhossein Ghozati¹ Armin Salimi-Badr²

1- دانشگاه شهید بهشتی 2- دانشگاه شهید بهشتی

کلمات کلیدی :

Deep Reinforcement Learning،Algorithmic Trading،TD3،Pessimism،Transformer Attention،Multi-Asset Portfolio،Continuous Actions

چکیده :

Contemporary financial markets, marked by their rapid evolution and inherent volatility, pose substantial challenges to algorithmic trading due to pervasive uncertainty. Traditional approaches frequently prove insufficient, and even advanced deep reinforcement learning (DRL) models may succumb to overestimation biases. In response, we present the Pessimistic Transformer-based TD3 (PT-TD3), an innovative extension of the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm, specifically adapted for continuous action spaces. Our methodology integrates a Transformer encoder to discern long-term patterns and interdependencies among multiple assets, alongside a pessimism mechanism that exploits variances between twin critics to conservatively modulate Q-values, thereby curtailing unwarranted overconfidence in risky decisions. Additionally, we enhance the state representation with technical indicators such as RSI and MACD, while refining the reward function through volatility penalties to promote greater stability. Evaluated on a diversified portfolio of 10 U.S. stocks over the period from 2015 to 2023, PT-TD3 yields a total return of 52.14% (exceeding the benchmark's 46.03%), a Sharpe ratio of 3.63 (versus 2.76), and a maximum drawdown of -5.06% (compared to -7.95%), surpassing competing techniques including LSTM-PPO hybrids and CNN-GRU-Attention frameworks. An ablation study reveals optimal performance at , underscoring how this calibration effectively manages uncertainty without compromising potential gains. Ultimately, PT-TD3 furnishes a more resilient framework for traders operating in unpredictable market conditions.