Thomas E. Koker
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Research Interests
Thomas E. Koker has a total of 1 co-authors. Here are the top co-authors by number of shared publications:
- Dimitrios Koutmos
Department of Accounting, Finance, and Business Law, College of Business, Texas A&M University—Corpus Christi, Corpus Christi, TX 78412, USA
1 shared publication
Latest Publications
- Open Access
- 10 August 2020
- Published by MDPI AG in Journal of Risk and Financial Management
- Vol. 13 (8) , 178
Cryptocurrency Trading Using Machine Learning
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 findings hold when accounting for actual transaction costs. We conclude that real-world portfolio management application of the model is viable, yet, performance can vary based on how it is calibrated in test samples.
- 10 August 2020
- Published by MDPI AG in Journal of Risk and Financial Management
- Vol. 13 (8) , 178
Open AccessCryptocurrency Trading Using Machine Learning
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 findings hold when accounting for actual transaction costs. We conclude that real-world portfolio management application of the model is viable, yet, performance can vary based on how it is calibrated in test samples.