The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets

Jan-Alexander Posth*, Piotr Kamil Kotlarz, Branka Hadji-Misheva, Joerg Osterrieder, Peter Schwendner

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

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The central research question to answer in this study is whether the AI methodology of Self-Play can be applied to financial markets. In typical use-cases of Self-Play, two AI
agents play against each other in a particular game, e.g., chess or Go. By repeatedly playing the game, they learn its rules as well as possible winning strategies. When
considering financial markets, however, we usually have one player—the trader—that does not face one individual adversary but competes against a vast universe of other
market participants. Furthermore, the optimal behaviour in financial markets is not described via a winning strategy, but via the objective of maximising profits while managing risks appropriately. Lastly, data issues cause additional challenges, since, in finance, they are quite often incomplete, noisy and difficult to obtain. We will show that academic research using Self-Play has mostly not focused on finance, and if it has, it was usually restricted to stock markets, not considering the large FX, commodities and bond markets. Despite those challenges, we see enormous potential of applying self-play concepts and algorithms to financial markets and economic forecasts.
Original languageEnglish
Pages (from-to)57
Number of pages6
JournalFrontiers in Artificial Intelligence
Publication statusPublished - 31 May 2021


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