A Novel Anti-Risk Method for Portfolio Trading Using Deep Reinforcement Learning

In the past decade, the application of deep reinforcement learning (DRL) in portfolio management has attracted extensive attention. However, most classical RL algorithms do not consider the exogenous and noise of financial time series data, which may lead to treacherous trading decisions. To address...

Celý popis

Uloženo v:
Podrobná bibliografie
Vydáno v:Electronics (Basel) Ročník 11; číslo 9; s. 1506
Hlavní autoři: Yue, Han, Liu, Jiapeng, Tian, Dongmei, Zhang, Qin
Médium: Journal Article
Jazyk:angličtina
Vydáno: Basel MDPI AG 01.05.2022
Témata:
Algorithms
Deep learning
Feature extraction
Investment strategy
Investments
Machine learning
Methods
Noise
Optimization
Resistance training
Securities markets
Stock exchanges
Strength training
ISSN:2079-9292, 2079-9292
On-line přístup:Získat plný text
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
Popis
Shrnutí:In the past decade, the application of deep reinforcement learning (DRL) in portfolio management has attracted extensive attention. However, most classical RL algorithms do not consider the exogenous and noise of financial time series data, which may lead to treacherous trading decisions. To address this issue, we propose a novel anti-risk portfolio trading method based on deep reinforcement learning (DRL). It consists of a stacked sparse denoising autoencoder (SSDAE) network and an actor–critic based reinforcement learning (RL) agent. SSDAE will carry out off-line training first, while the decoder will used for on-line feature extraction in each state. The SSDAE network is used for the noise resistance training of financial data. The actor–critic algorithm we use is advantage actor–critic (A2C) and consists of two networks: the actor network learns and implements an investment policy, which is then evaluated by the critic network to determine the best action plan by continuously redistributing various portfolio assets, taking Sharp ratio as the optimization function. Through extensive experiments, the results show that our proposed method is effective and superior to the Dow Jones Industrial Average index (DJIA), several variants of our proposed method, and a state-of-the-art (SOTA) method.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:2079-9292
2079-9292
DOI:10.3390/electronics11091506