This project consists of a deep reinforcement learning agent which is able to conduct an automated trading strategy based on the new concept of multi-dimensional pairs trading. The folder DRLMPT contains all source code plus the folder containing the data.
The project is implemented in python 3.5.5. Apart from python version 3, the following libraries must be installed:
- theano
- lasagne
- numpy
- statsmodels
- pandas
All these libraries can be easily installed through Anaconda, a python package management tool free available for download.
After downloading and installing Anaconda, you can install the required libraries easily with the following command:
conda install theano lasagne numpy statsmodels pandas
To run DRLMPT, execute runner.py in the DRLMPT folder.
cd DRLMPT
python3 runner