コロナショック環境下におけるAIトレーダーの投資パフォーマンス
2020 年 2020 巻 FIN-025 号 p. 13-
詳細
2020 年 2020 巻 FIN-025 号 p. 13-
In This paper, the investment performances of the AI traders that predict fluctuations in Nikkei 225 Futures during the period under COVID-19 Crisis were measured. In addition, by comparing the data under the Lehman Shock with "learned AI traders" and "not learned AI traders", learning of past market crash could improve the investment performance of AI traders in future market crash. Furthermore, it was confirmed that AI traders who have learned the period of the Lehman shock were more likely to avoid risk when the market fluctuation range was small.
