著者

Ihor Lubashevsky Kosuke Hijikata

出版者

システム制御情報学会ストカスティックシステムシンポジウム

雑誌

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)

巻号頁・発行日

vol.2017, pp.190-196, 2017-05-31 (Released:2017-11-01)

参考文献数

16

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Within the paradigm of human intermittent control over unstable systems human behavior admits the interpretation as a sequence of point-like moments when the operator makes decision on activating or deactivating the control. These decision-making events are assumed to be governed by the information about the state of system under control which the operator accumulates continuously. In the present work we propose the concept of reinforcement learning with decision inertia (the status quo bias) that opens a gate to applying the formalism of reinforcement learning to describing human intermittent control. The basic feature of such reinforcement learning is that human behavior in a sequence of selecting available options exhibits quasicontinuous dynamics. Numerical simulation based on a fairly simple model demonstrates that the proposed formalism does possess the required properties of quasicontinuous behavior.

著者

Hayato Kijima Hideyuki Takada Takayuki Tomiya

出版者

システム制御情報学会ストカスティックシステムシンポジウム

雑誌

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)

巻号頁・発行日

vol.2016, pp.181-188, 2016-05-13 (Released:2016-10-31)

参考文献数

10

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We propose a stochastic filtering model for Limit Order Book (LOB) where the signal process obeys the stochastic differential equation (SDE) whose trend function depend on the history of the LOB in such a way as to reflect the predicted direction of the mid price movement via the Support Vector Machine (SVM). Stochastic dynamics of the LOB is modeled with a queuing system where incoming orders and cancellations of existing orders arrive according to conditionally independent Poisson processes. Finally, numerical example with Nikkei 225 futures are presented.