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A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

Citations

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Cited by:

  1. Qianggang Ding & Haochen Shi & Bang Liu, 2024. "TradExpert: Revolutionizing Trading with Mixture of Expert LLMs," Papers 2411.00782, arXiv.org.
  2. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
  3. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
  4. Andrew Ye & James Xu & Vidyut Veedgav & Yi Wang & Yifan Yu & Daniel Yan & Ryan Chen & Vipin Chaudhary & Shuai Xu, 2024. "Learning the Market: Sentiment-Based Ensemble Trading Agents," Papers 2402.01441, arXiv.org, revised Nov 2024.
  5. Maochun Xu & Zixun Lan & Zheng Tao & Jiawei Du & Zongao Ye, 2023. "Deep Reinforcement Learning for Quantitative Trading," Papers 2312.15730, arXiv.org.
  6. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
  7. Koya Ishikawa & Kazuhide Nakata, 2021. "Online Trading Models with Deep Reinforcement Learning in the Forex Market Considering Transaction Costs," Papers 2106.03035, arXiv.org, revised Dec 2021.
  8. Ashish Anil Pawar & Vishnureddy Prashant Muskawar & Ritesh Tiku, 2024. "Portfolio Management using Deep Reinforcement Learning," Papers 2405.01604, arXiv.org.
  9. Haoren Zhu & Pengfei Zhao & Wilfred Siu Hung NG & Dik Lun Lee, 2024. "Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns," Papers 2406.11886, arXiv.org.
  10. Hyungjun Park & Min Kyu Sim & Dong Gu Choi, 2019. "An intelligent financial portfolio trading strategy using deep Q-learning," Papers 1907.03665, arXiv.org, revised Nov 2019.
  11. Zhaolu Dong & Shan Huang & Simiao Ma & Yining Qian, 2021. "Factor Representation and Decision Making in Stock Markets Using Deep Reinforcement Learning," Papers 2108.01758, arXiv.org.
  12. Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Tavakkoli, Hamid Raza & Rezgui, Hichem, 2024. "Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 37-57.
  13. Brini, Alessio & Tantari, Daniele, 2023. "Deep reinforcement trading with predictable returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  14. Nymisha Bandi & Theja Tulabandhula, 2020. "Off-Policy Optimization of Portfolio Allocation Policies under Constraints," Papers 2012.11715, arXiv.org.
  15. Mengying Zhu & Xiaolin Zheng & Yan Wang & Yuyuan Li & Qianqiao Liang, 2019. "Adaptive Portfolio by Solving Multi-armed Bandit via Thompson Sampling," Papers 1911.05309, arXiv.org, revised Nov 2019.
  16. Adrian Millea, 2021. "Deep Reinforcement Learning for Trading—A Critical Survey," Data, MDPI, vol. 6(11), pages 1-25, November.
  17. Uta Pigorsch & Sebastian Schafer, 2021. "High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning," Papers 2112.04755, arXiv.org.
  18. Eric Benhamou & David Saltiel & Sandrine Ungari & Abhishek Mukhopadhyay, 2020. "Time your hedge with Deep Reinforcement Learning," Papers 2009.14136, arXiv.org, revised Nov 2020.
  19. Shuo Sun & Wanqi Xue & Rundong Wang & Xu He & Junlei Zhu & Jian Li & Bo An, 2021. "DeepScalper: A Risk-Aware Reinforcement Learning Framework to Capture Fleeting Intraday Trading Opportunities," Papers 2201.09058, arXiv.org, revised Aug 2022.
  20. Cui, Tianxiang & Du, Nanjiang & Yang, Xiaoying & Ding, Shusheng, 2024. "Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
  21. Wonsup Shin & Seok-Jun Bu & Sung-Bae Cho, 2019. "Automatic Financial Trading Agent for Low-risk Portfolio Management using Deep Reinforcement Learning," Papers 1909.03278, arXiv.org.
  22. Mei-Li Shen & Cheng-Feng Lee & Hsiou-Hsiang Liu & Po-Yin Chang & Cheng-Hong Yang, 2021. "An Effective Hybrid Approach for Forecasting Currency Exchange Rates," Sustainability, MDPI, vol. 13(5), pages 1-29, March.
  23. Saeed Marzban & Erick Delage & Jonathan Yumeng Li & Jeremie Desgagne-Bouchard & Carl Dussault, 2021. "WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management," Papers 2109.07005, arXiv.org, revised Sep 2021.
  24. Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
  25. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  26. MohammadAmin Fazli & Mahdi Lashkari & Hamed Taherkhani & Jafar Habibi, 2022. "A Novel Experts Advice Aggregation Framework Using Deep Reinforcement Learning for Portfolio Management," Papers 2212.14477, arXiv.org.
  27. Zechu Li & Xiao-Yang Liu & Jiahao Zheng & Zhaoran Wang & Anwar Walid & Jian Guo, 2021. "FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance," Papers 2111.05188, arXiv.org.
  28. Kinyua, Johnson D. & Mutigwe, Charles & Cushing, Daniel J. & Poggi, Michael, 2021. "An analysis of the impact of President Trump’s tweets on the DJIA and S&P 500 using machine learning and sentiment analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  29. Aiusha Sangadiev & Rodrigo Rivera-Castro & Kirill Stepanov & Andrey Poddubny & Kirill Bubenchikov & Nikita Bekezin & Polina Pilyugina & Evgeny Burnaev, 2020. "DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data," Papers 2008.12152, arXiv.org.
  30. Farzan Soleymani & Eric Paquet, 2021. "Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket," Papers 2105.08664, arXiv.org.
  31. Jonas Hanetho, 2023. "Commodities Trading through Deep Policy Gradient Methods," Papers 2309.00630, arXiv.org.
  32. Andrew Papanicolaou & Hao Fu & Prashanth Krishnamurthy & Farshad Khorrami, 2023. "A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs," Papers 2301.10869, arXiv.org, revised Feb 2023.
  33. Ahmet Murat Ozbayoglu & Mehmet Ugur Gudelek & Omer Berat Sezer, 2020. "Deep Learning for Financial Applications : A Survey," Papers 2002.05786, arXiv.org.
  34. Brini, Alessio & Tedeschi, Gabriele & Tantari, Daniele, 2023. "Reinforcement learning policy recommendation for interbank network stability," Journal of Financial Stability, Elsevier, vol. 67(C).
  35. Tian, Yuan & Han, Minghao & Kulkarni, Chetan & Fink, Olga, 2022. "A prescriptive Dirichlet power allocation policy with deep reinforcement learning," Reliability Engineering and System Safety, Elsevier, vol. 224(C).
  36. Taylan Kabbani & Ekrem Duman, 2022. "Deep Reinforcement Learning Approach for Trading Automation in The Stock Market," Papers 2208.07165, arXiv.org.
  37. Wentao Zhang & Yilei Zhao & Shuo Sun & Jie Ying & Yonggang Xie & Zitao Song & Xinrun Wang & Bo An, 2023. "Reinforcement Learning with Maskable Stock Representation for Portfolio Management in Customizable Stock Pools," Papers 2311.10801, arXiv.org, revised Feb 2024.
  38. Shuo Sun & Molei Qin & Xinrun Wang & Bo An, 2023. "PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets," Papers 2302.00586, arXiv.org, revised Mar 2023.
  39. Iwao Maeda & David deGraw & Michiharu Kitano & Hiroyasu Matsushima & Hiroki Sakaji & Kiyoshi Izumi & Atsuo Kato, 2020. "Deep Reinforcement Learning in Agent Based Financial Market Simulation," JRFM, MDPI, vol. 13(4), pages 1-17, April.
  40. Charl Maree & Christian W. Omlin, 2022. "Balancing Profit, Risk, and Sustainability for Portfolio Management," Papers 2207.02134, arXiv.org.
  41. Zhenhan Huang & Fumihide Tanaka, 2021. "MSPM: A Modularized and Scalable Multi-Agent Reinforcement Learning-based System for Financial Portfolio Management," Papers 2102.03502, arXiv.org, revised Feb 2022.
  42. Zitao Song & Xuyang Jin & Chenliang Li, 2022. "Safe-FinRL: A Low Bias and Variance Deep Reinforcement Learning Implementation for High-Freq Stock Trading," Papers 2206.05910, arXiv.org.
  43. Lyu, Benmeng & Wu, Boqian & Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2024. "Robust online portfolio optimization with cash flows," Omega, Elsevier, vol. 129(C).
  44. Ziming Gao & Yuan Gao & Yi Hu & Zhengyong Jiang & Jionglong Su, 2020. "Application of Deep Q-Network in Portfolio Management," Papers 2003.06365, arXiv.org.
  45. Ali Hirsa & Joerg Osterrieder & Branka Hadji-Misheva & Jan-Alexander Posth, 2021. "Deep reinforcement learning on a multi-asset environment for trading," Papers 2106.08437, arXiv.org.
  46. Le Trung Hieu, 2020. "Deep Reinforcement Learning for Stock Portfolio Optimization," Papers 2012.06325, arXiv.org.
  47. Zhenhan Huang & Fumihide Tanaka, 2023. "A Scalable Reinforcement Learning-based System Using On-Chain Data for Cryptocurrency Portfolio Management," Papers 2307.01599, arXiv.org.
  48. Han Ding & Yinheng Li & Junhao Wang & Hang Chen, 2024. "Large Language Model Agent in Financial Trading: A Survey," Papers 2408.06361, arXiv.org.
  49. Jonas Hanetho, 2023. "Deep Policy Gradient Methods in Commodity Markets," Papers 2308.01910, arXiv.org.
  50. Liu Ziyin & Kentaro Minami & Kentaro Imajo, 2021. "Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction," Papers 2106.04114, arXiv.org, revised Dec 2022.
  51. Giovanni Mariani & Yada Zhu & Jianbo Li & Florian Scheidegger & Roxana Istrate & Costas Bekas & A. Cristiano I. Malossi, 2019. "PAGAN: Portfolio Analysis with Generative Adversarial Networks," Papers 1909.10578, arXiv.org.
  52. Zhenglong Li & Vincent Tam & Kwan L. Yeung, 2024. "Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management," Papers 2402.00515, arXiv.org, revised Sep 2024.
  53. Jiayue Zhang & Ken Seng Tan & Tony S. Wirjanto & Lysa Porth, 2023. "Navigating Uncertainty in ESG Investing," Papers 2310.02163, arXiv.org, revised Jan 2025.
  54. Alessio Brini & Daniele Tantari, 2021. "Deep Reinforcement Trading with Predictable Returns," Papers 2104.14683, arXiv.org, revised May 2023.
  55. Yunan Ye & Hengzhi Pei & Boxin Wang & Pin-Yu Chen & Yada Zhu & Jun Xiao & Bo Li, 2020. "Reinforcement-Learning based Portfolio Management with Augmented Asset Movement Prediction States," Papers 2002.05780, arXiv.org.
  56. Xiao-Yang Liu & Hongyang Yang & Jiechao Gao & Christina Dan Wang, 2021. "FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance," Papers 2111.09395, arXiv.org.
  57. Junyi Ye & Bhaskar Goswami & Jingyi Gu & Ajim Uddin & Guiling Wang, 2024. "From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing," Papers 2403.06779, arXiv.org.
  58. Jian Guo & Heung-Yeung Shum, 2024. "Large Investment Model," Papers 2408.10255, arXiv.org, revised Aug 2024.
  59. Kasper Johansson & Stephen Boyd, 2024. "Simple and Effective Portfolio Construction with Crypto Assets," Papers 2412.02654, arXiv.org.
  60. Jinyang Li, 2024. "A Deep Reinforcement Learning Framework For Financial Portfolio Management," Papers 2409.08426, arXiv.org.
  61. Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
  62. Martino Banchio & Giacomo Mantegazza, 2022. "Artificial Intelligence and Spontaneous Collusion," Papers 2202.05946, arXiv.org, revised Sep 2023.
  63. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  64. Ruan Pretorius & Terence van Zyl, 2022. "Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management," Papers 2203.11318, arXiv.org.
  65. Jinan Zou & Qingying Zhao & Yang Jiao & Haiyao Cao & Yanxi Liu & Qingsen Yan & Ehsan Abbasnejad & Lingqiao Liu & Javen Qinfeng Shi, 2022. "Stock Market Prediction via Deep Learning Techniques: A Survey," Papers 2212.12717, arXiv.org, revised Feb 2023.
  66. Alhassan S. Yasin & Prabdeep S. Gill, 2024. "Reinforcement Learning Framework for Quantitative Trading," Papers 2411.07585, arXiv.org.
  67. Amir Mosavi & Pedram Ghamisi & Yaser Faghan & Puhong Duan, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Papers 2004.01509, arXiv.org.
  68. Xing Wang & Yijun Wang & Bin Weng & Aleksandr Vinel, 2020. "Stock2Vec: A Hybrid Deep Learning Framework for Stock Market Prediction with Representation Learning and Temporal Convolutional Network," Papers 2010.01197, arXiv.org.
  69. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
  70. Paraskevi Nousi & Loukia Avramelou & Georgios Rodinos & Maria Tzelepi & Theodoros Manousis & Konstantinos Tsampazis & Kyriakos Stefanidis & Dimitris Spanos & Manos Kirtas & Pavlos Tosidis & Avraam Tsa, 2023. "Leveraging Deep Learning and Online Source Sentiment for Financial Portfolio Management," Papers 2309.16679, arXiv.org, revised Oct 2023.
  71. Jiahua Xu & Daniel Perez & Yebo Feng & Benjamin Livshits, 2023. "Auto.gov: Learning-based On-chain Governance for Decentralized Finance (DeFi)," Papers 2302.09551, arXiv.org, revised May 2023.
  72. Fischer, Thomas G., 2018. "Reinforcement learning in financial markets - a survey," FAU Discussion Papers in Economics 12/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  73. Ricard Durall, 2022. "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers 2208.07158, arXiv.org.
  74. Ma, Cong & Nan, Shijing, 2024. "Dynamic graph reinforcement learning algorithm for portfolio management: A novel time–frequency correlated model," Finance Research Letters, Elsevier, vol. 63(C).
  75. Yinheng Li & Junhao Wang & Yijie Cao, 2019. "A General Framework on Enhancing Portfolio Management with Reinforcement Learning," Papers 1911.11880, arXiv.org, revised Oct 2023.
  76. Yasuhiro Nakayama & Tomochika Sawaki, 2023. "Causal Inference on Investment Constraints and Non-stationarity in Dynamic Portfolio Optimization through Reinforcement Learning," Papers 2311.04946, arXiv.org.
  77. Amirhosein Mosavi & Yaser Faghan & Pedram Ghamisi & Puhong Duan & Sina Faizollahzadeh Ardabili & Ely Salwana & Shahab S. Band, 2020. "Comprehensive Review of Deep Reinforcement Learning Methods and Applications in Economics," Mathematics, MDPI, vol. 8(10), pages 1-42, September.
  78. Huanming Zhang & Zhengyong Jiang & Jionglong Su, 2021. "A Deep Deterministic Policy Gradient-based Strategy for Stocks Portfolio Management," Papers 2103.11455, arXiv.org.
  79. Moh. Alfi Amal & Herlina Napitupulu & Sukono, 2024. "Particle Swarm Optimization Algorithm for Determining Global Optima of Investment Portfolio Weight Using Mean-Value-at-Risk Model in Banking Sector Stocks," Mathematics, MDPI, vol. 12(24), pages 1-34, December.
  80. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
  81. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
  82. Adrian Millea & Abbas Edalat, 2022. "Using Deep Reinforcement Learning with Hierarchical Risk Parity for Portfolio Optimization," IJFS, MDPI, vol. 11(1), pages 1-16, December.
  83. Gang Huang & Xiaohua Zhou & Qingyang Song, 2020. "Deep reinforcement learning for portfolio management," Papers 2012.13773, arXiv.org, revised Apr 2022.
  84. Xiao-Yang Liu & Hongyang Yang & Qian Chen & Runjia Zhang & Liuqing Yang & Bowen Xiao & Christina Dan Wang, 2020. "FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance," Papers 2011.09607, arXiv.org, revised Mar 2022.
  85. Hui Niu & Siyuan Li & Jian Li, 2022. "MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization," Papers 2210.01774, arXiv.org.
  86. Miquel Noguer i Alonso & Sonam Srivastava, 2020. "Deep Reinforcement Learning for Asset Allocation in US Equities," Papers 2010.04404, arXiv.org.
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