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Stock Trading Using a Deep Reinforcement Learning and Text Analysis
Benk, Dominik ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on exploiting imperfections on the stock market by utilizing state-of-the-art learning methods and applying them to algorithmic trading. The automated decisions are expected to have the capability of outperforming professional traders by considering much more information, reacting almost instantly and being unaffected by emotions. As an alternative to traditional supervised learning, the proposed model of reinforcement learning employs a principle of trial-and-error, which is essential for learning behaviours of all organisms. In the context of stocks, this allows to consider the involved uncer- tainty and therefore more precisely estimate the long-run returns. To collect the most relevant information for each trading decision, additionally to tech- nical indicators the models build on investor's opinion - financial sentiment. This is derived from two textual sources, news and social media, and the main goal is to compare their relative contribution to trading. Models are applied to 11 different stocks and later combined into portfolio for greater robustness of results. The textual analysis proves to be important for the learning process, especially in case of stocks with good media coverage. The Twitter is found to provide more valuable information compared to news, but their...
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Stock markets comparison in Central and Eastern Europe
Michalovský, Michal ; Žilák, Pavel (advisor) ; Veselá, Jitka (referee)
This thesis compares stock exchanges in Central and Eastern Europe. It covers exchanges of Prague, Budapest, Warsaw, Bucharest, Ljubljana, Zagreb, Vienna, and Istanbul. At first, all the exchanges are briefly introduced including naming five most liquid stocks. Selected market specifics are then compared including supported order types, tick sizes, fees policy, trading hours, safety breaks, taxes, market capitalization, and weights in global stock indices. Lastly, a comparison of trading activity is provided and analysis of important feature of trading -- liquidity is performed calculating selected liquidity measure for each market.
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