Reinforcement Learning for Systematic FX Trading

We explore online inductive transfer learning, with a feature representation transfer from a radial basis function network formed of Gaussian mixture model hidden processing units to a direct, recurrent reinforcement learning agent. This agent is put to work in an experiment, trading the major spot market currency pairs, where we accurately account for transaction and funding costs. These sources of profit and loss, including the price trends that occur in the currency markets, are made available to the agent via a quadratic utility, who learns to target a position directly. We improve upon earlier work by targeting a risk position in an online transfer learning context. Our agent achieves an annualised portfolio information ratio of 0.52 with a compound return of 9.3%, net of execution and funding cost, over a 7-year test set; this is despite forcing the model to trade at the close of the trading day at 5 pm EST when trading costs are statistically the most expensive

Gene expression meta-analysis of Parkinson’s disease and its relationship with Alzheimer’s disease

Abstract Parkinson’s disease (PD) and Alzheimer’s disease (AD) are the most common neurodegenerative diseases and have been suggested to share common pathological and physiological links. Understanding the cross-talk between them could reveal potentials for the development of new strategies for early diagnosis and therapeutic intervention thus improving the quality of life of those affected. Here we have conducted a novel meta-analysis to identify differentially expressed genes (DEGs) in PD microarray datasets comprising 69 PD and 57 control brain samples which is the biggest cohort for such studies to date. Using identified DEGs, we performed pathway, upstream and protein-protein interaction analysis. We identified 1046 DEGs, of which a majority (739/1046) were downregulated in PD. YWHAZ and other genes coding 14–3-3 proteins are identified as important DEGs in signaling pathways and in protein-protein interaction networks (PPIN). Perturbed pathways also include mitochondrial dysfunction and oxidative stress. There was a significant overlap in DEGs between PD and AD, and over 99% of these were differentially expressed in the same up or down direction across the diseases. REST was identified as an upstream regulator in both diseases. Our study demonstrates that PD and AD share significant common DEGs and pathways, and identifies novel genes, pathways and upstream regulators which may be important targets for therapy in both diseases

Online Learning with Radial Basis Function Networks

The authors provide multi-horizon forecasts on the returns of financial time series. Their sequen-tially optimised radial basis function network (RBFNet) outperforms a random-walk baseline and several powerful supervised learners. Their RBFNets naturally measure the similarity between test samples and prototypes that capture the characteristics of the feature space. The authors show that the training set financial time series returns have low similarity with their test set counterparts, highlighting the challenges faced in particular by kernel-based methods that use the training set returns as test-time prototypes; in contrast, their online learning RBFNets have hidden units that retain greater similarity across time