Konstantinos Saitas-Zarkias

Konstantinos Saitas-Zarkias

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Konstantinos Saitas-Zarkias

School of Informatics, Aristotle University of Thessaloniki, 54124 Thessaloniki, Greece. He is now with the KTH Royal Institute of Technology, 114 28 Stockholm, Sweden

Research Focus & Metrics

Academic Career Length

7Years (2020-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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9 June 2020 in IEEE Transactions on Neural Networks and Learning Systems
Verified
Journal Article
Closed access
ATAvraam Tsantekidis
Avraam Tsantekidis
Nikolaos PassalisNikolaos Passalis
Nikolaos Passalis
ATAnastasia-Sotiria Toufa
Anastasia-Sotiria Toufa
KSKonstantinos Saitas-Zarkias
Konstantinos Saitas-Zarkias
SCStergios Chairistanidis
Stergios Chairistanidis
ATAnastasios Tefas
Anastasios Tefas
Machine learning methods have recently seen a growing number of applications in financial trading. Being able to automatically extract patterns from past price data and consistently apply them in the future has been the focus of many quantitative trading applications. However, developing machine learning-based methods for financial trading is not straightforward, requiring carefully designed targets/rewards, hyperparameter fine-tuning, and so on. Furthermore, most of the existing methods are unable to effectively exploit the information available across various financial instruments. In this article, we propose a deep reinforcement learning-based approach, which ensures that consistent rewards are provided to the trading agent, mitigating the noisy nature of profit-and-loss rewards that are usually used. To this end, we employ a novel price trailing-based reward shaping approach, significantly improving the performance of the agent in terms of profit, Sharpe ratio, and maximum drawdown. Furthermore, we carefully designed a data preprocessing method that allows for training the agent on different FOREX currency pairs, providing a way for developing market-wide RL agents and allowing, at the same time, to exploit more powerful recurrent deep learning models without the risk of overfitting. The ability of the proposed methods to improve various performance metrics is demonstrated using a challenging large-scale data set, containing 28 instruments, provided by Speedlab AG.