{"metadata":{"_oai":{"id":"oai:ipsj.ixsq.nii.ac.jp:00216550","sets":["1164:2735:10865:10866"]},"path":["10866"],"owner":"44499","recid":"216550","title":["深層強化学習による機会損失を考慮した株式投資戦略の構築"],"pubdate":{"attribute_name":"公開日","attribute_value":"2022-02-24"},"_buckets":{"deposit":"f616ba80-93a5-4560-acf6-91f2d88e851b"},"_deposit":{"id":"216550","pid":{"type":"depid","value":"216550","revision_id":0},"owners":[44499],"status":"published","created_by":44499},"item_title":"深層強化学習による機会損失を考慮した株式投資戦略の構築","author_link":["559022","559020","559021","559019"],"item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"深層強化学習による機会損失を考慮した株式投資戦略の構築"},{"subitem_title":"Deep Reinforcement Learning Based Stock Trading Strategy Considering Opportunity Loss","subitem_title_language":"en"}]},"item_type_id":"4","publish_date":"2022-02-24","item_4_text_3":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京都市大学"},{"subitem_text_value":"東京都市大学"}]},"item_4_text_4":{"attribute_name":"著者所属(英)","attribute_value_mlt":[{"subitem_text_value":"Tokyo City University","subitem_text_language":"en"},{"subitem_text_value":"Tokyo City University","subitem_text_language":"en"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_publisher":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"情報処理学会","subitem_publisher_language":"ja"}]},"publish_status":"0","weko_shared_id":-1,"item_file_price":{"attribute_name":"Billing file","attribute_type":"file","attribute_value_mlt":[{"url":{"url":"https://ipsj.ixsq.nii.ac.jp/record/216550/files/IPSJ-MPS22137004.pdf","label":"IPSJ-MPS22137004.pdf"},"date":[{"dateType":"Available","dateValue":"2024-02-24"}],"format":"application/pdf","billing":["billing_file"],"filename":"IPSJ-MPS22137004.pdf","filesize":[{"value":"382.5 kB"}],"mimetype":"application/pdf","priceinfo":[{"tax":["include_tax"],"price":"660","billingrole":"5"},{"tax":["include_tax"],"price":"330","billingrole":"6"},{"tax":["include_tax"],"price":"0","billingrole":"17"},{"tax":["include_tax"],"price":"0","billingrole":"44"}],"accessrole":"open_date","version_id":"bb2119a0-176b-43bc-8d03-e3d014c573c3","displaytype":"detail","licensetype":"license_note","license_note":"Copyright (c) 2022 by the Information Processing Society of Japan"}]},"item_4_creator_5":{"attribute_name":"著者名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"井上, 修一"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"穴田, 一"}],"nameIdentifiers":[{}]}]},"item_4_creator_6":{"attribute_name":"著者名(英)","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Shuichi, Inoue","creatorNameLang":"en"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"Hajime, Anada","creatorNameLang":"en"}],"nameIdentifiers":[{}]}]},"item_4_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10505667","subitem_source_identifier_type":"NCID"}]},"item_4_textarea_12":{"attribute_name":"Notice","attribute_value_mlt":[{"subitem_textarea_value":"SIG Technical Reports are nonrefereed and hence may later appear in any journals, conferences, symposia, etc."}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourceuri":"http://purl.org/coar/resource_type/c_18gh","resourcetype":"technical report"}]},"item_4_source_id_11":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"2188-8833","subitem_source_identifier_type":"ISSN"}]},"item_4_description_7":{"attribute_name":"論文抄録","attribute_value_mlt":[{"subitem_description":"近年，機械学習の 1 つである深層強化学習を用いた金融取引に関する研究が盛んにおこなわれている．これらの研究では，金融商品の売買数や複利計算を考慮したもの，入力に株価チャートを用いるものなど様々なアプローチがなされているが，すべての期間で利益を上げられていない．これは，機会損失を考慮できていないからだと考えられる．そこで，本研究では各行動に対する機会損失を深層強化学習での報酬に組み込み，株式投資において利益を上げるための最適な買いや売りのタイミングを学習するモデルを構築し，その有効性を示す．","subitem_description_type":"Other"}]},"item_4_biblio_info_10":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicPageEnd":"2","bibliographic_titles":[{"bibliographic_title":"研究報告数理モデル化と問題解決（MPS）"}],"bibliographicPageStart":"1","bibliographicIssueDates":{"bibliographicIssueDate":"2022-02-24","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"4","bibliographicVolumeNumber":"2022-MPS-137"}]},"relation_version_is_last":true,"weko_creator_id":"44499"},"id":216550,"updated":"2025-01-19T15:48:37.694191+00:00","links":{},"created":"2025-01-19T01:17:05.706209+00:00"}