Year: 2019
Type: preprint
Abstract: In this paper, we propose stock trading based on the average tax basis. Recall that when selling stocks, capital gain should be taxed while capital loss can earn certain tax rebate. We learn the optimal trading strategies with and without considering taxes by reinforcement learning. The result shows that tax ignorance could induce more than 62% loss on the average portfolio returns, implying that taxes should be embedded in the environment of continuous stock trading on AI platforms.
Author: Huang, Shan
Institution: National University of Singapore
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2965762235