arXiv · 2310.09462
A Framework for Empowering Reinforcement Learning Agents with Causal Analysis: Enhancing Automated Cryptocurrency Trading
Abstract
Despite advances in artificial intelligence-enhanced trading methods, developing a profitable automated trading system remains challenging in the rapidly evolving cryptocurrency market. This research focuses on developing a reinforcement learning (RL) framework to tackle the complexities of trading five prominent altcoins: Binance Coin, Ethereum, Litecoin, Ripple, and Tether. To this end, we present the CausalReinforceNet~(CRN) framework, which integrates both Bayesian and dynamic Bayesian network techniques to empower the RL agent in trade decision-making. We develop two agents using the framework based on distinct RL algorithms to analyse performance compared to the Buy-and-Hold benchmark strategy and a baseline RL model. The results indicate that our framework surpasses both models in profitability, highlighting CRN's consistent superiority, although the level of effectiveness varies across different cryptocurrencies.
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Rasoul Amirzadeh, Dhananjay Thiruvady, Asef Nazari, Mong Shan Ee. 2023-10-14. A Framework for Empowering Reinforcement Learning Agents with Causal Analysis: Enhancing Automated Cryptocurrency Trading. https://arxiv.org/abs/2310.09462
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