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A Deep Reinforcement Learning Framework For Financial Portfolio Management

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  • Jinyang Li

Abstract

In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved by deep learning techniques. The original paper proposes a financial-model-free reinforcement learning framework, which consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM), an Online Stochastic Batch Learning (OSBL) scheme, and a fully exploiting and explicit reward function. Three different instants are used to realize this framework, namely a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). The performance is then examined by comparing to a number of recently reviewed or published portfolio-selection strategies. We have successfully replicated their implementations and evaluations. Besides, we further apply this framework in the stock market, instead of the cryptocurrency market that the original paper uses. The experiment in the cryptocurrency market is consistent with the original paper, which achieve superior returns. But it doesn't perform as well when applied in the stock market.

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  • Jinyang Li, 2024. "A Deep Reinforcement Learning Framework For Financial Portfolio Management," Papers 2409.08426, arXiv.org.
    • Handle: RePEc:arx:papers:2409.08426
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    1. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
    2. Mih�ly Ormos & Andr�s Urb�n, 2013. "Performance analysis of log-optimal portfolio strategies with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1587-1597, October.
    3. James B. Heaton & Nicholas Polson & Jan H. Witte, 2017. "Rejoinder to ‘Deep learning for finance: deep portfolios’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(1), pages 19-21, January.
    4. Zhengyao Jiang & Dixing Xu & Jinjun Liang, 2017. "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem," Papers 1706.10059, arXiv.org, revised Jul 2017.
    5. J. B. Heaton & N. G. Polson & J. H. Witte, 2017. "Deep learning for finance: deep portfolios," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(1), pages 3-12, January.
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