Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Bitcoin Transaction Strategy Construction Based on Deep Reinforcement
  Learning   The emerging cryptocurrency market has lately received great attention for
asset allocation due to its decentralization uniqueness. However, its
volatility and brand new trading mode have made it challenging to devising an
acceptable automatically-generating strategy. This study proposes a framework
for automatic high-frequency bitcoin transactions based on a deep reinforcement
learning algorithm-proximal policy optimization (PPO). The framework creatively
regards the transaction process as actions, returns as awards and prices as
states to align with the idea of reinforcement learning. It compares advanced
machine learning-based models for static price predictions including support
vector machine (SVM), multi-layer perceptron (MLP), long short-term memory
(LSTM), temporal convolutional network (TCN), and Transformer by applying them
to the real-time bitcoin price and the experimental results demonstrate that
LSTM outperforms. Then an automatically-generating transaction strategy is
constructed building on PPO with LSTM as the basis to construct the policy.
Extensive empirical studies validate that the proposed method performs
superiorly to various common trading strategy benchmarks for a single financial
product. The approach is able to trade bitcoins in a simulated environment with
synchronous data and obtains a 31.67% more return than that of the best
benchmark, improving the benchmark by 12.75%. The proposed framework can earn
excess returns through both the period of volatility and surge, which opens the
door to research on building a single cryptocurrency trading strategy based on
deep learning. Visualizations of trading the process show how the model handles
high-frequency transactions to provide inspiration and demonstrate that it can
be expanded to other financial products.

24
The categories of this paper are: dg-ga
11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
14
The categories of this paper are: math-ph
31
The categories of this paper are: ao-sci
2
The categories of this paper are: math
8
The categories of this paper are: hep-ex
35
The categories of this paper are: mtrl-th
10
The categories of this paper are: q-bio
6
The categories of this paper are: astro-ph
17
The categories of this paper are: q-fin
15
The categories of this paper are: nucl-ex
29
The categories of this paper are: funct-an
37
The categories of this paper are: supr-con