Koker, Thomas E.; Koutmos, Dimitrios - In: Journal of risk and financial management : JRFM 13 (2020) 8/178, pp. 1-7
We present a model for active trading based on reinforcement machine learning and apply this to five major cryptocurrencies in circulation. In relation to a buy-and-hold approach, we demonstrate how this model yields enhanced risk-adjusted returns and serves to reduce downside risk. These...
