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The goal in offline data-driven decision-making is synthesize decisions that optimize a black-box utility function, using a previously-collected static dataset, with no active interaction. These problems appear in many forms: offline…
The standard model of online prediction deals with serial processing of inputs by a single processor. However, in large-scale online prediction problems, where inputs arrive at a high rate, an increasingly common necessity is to distribute…
This paper studies deep learning methodologies for portfolio optimization in the US equities market. We present a novel residual switching network that can automatically sense changes in market regimes and switch between momentum and…
Offline-to-Online Reinforcement Learning (O2O RL) faces a critical dilemma in balancing the use of a fixed offline dataset with newly collected online experiences. Standard methods, often relying on a fixed data-mixing ratio, struggle to…
This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewhere. The MPM uses XGBoost to learn how to switch between two…
Portfolio management is an important yet challenging task in AI for FinTech, which aims to allocate investors' budgets among different assets to balance the risk and return of an investment. In this study, we propose a general…
Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on Factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We present a real-time multivariate anomaly detection algorithm for data streams based on the Probabilistic Exponentially Weighted Moving Average (PEWMA). Our formulation is resilient to (abrupt transient, abrupt distributional, and gradual…
With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
Robo-advisors (RAs) are automated portfolio management systems that complement traditional financial advisors by offering lower fees and smaller initial investment requirements. While most existing RAs rely on static, one-period allocation…
The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies. This study explores the enhancement of hedge fund…
Constrained multi-objective optimization problems (CMOPs) are of great significance in the context of practical applications, ranging from scientific to engineering domains. Most existing constrained multi-objective evolutionary algorithms…
Model-based offline reinforcement learning (MORL) aims to learn a policy by exploiting a dynamics model derived from an existing dataset. Applying conservative quantification to the dynamics model, most existing works on MORL generate…
Online optimization problems arise in many resource allocation tasks, where the future demands for each resource and the associated utility functions change over time and are not known apriori, yet resources need to be allocated at every…
A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive…
Offline policy learning is aimed at learning decision-making policies using existing datasets of trajectories without collecting additional data. The primary motivation for using reinforcement learning (RL) instead of supervised learning…
Aligning generative real-world image super-resolution models with human visual preference is challenging due to the perception--fidelity trade-off and diverse, unknown degradations. Prior approaches rely on offline preference optimization…
Stock return forecasting is a major component of numerous finance applications. Predicted stock returns can be incorporated into portfolio trading algorithms to make informed buy or sell decisions which can optimize returns. In such…
We consider model-based multi-agent reinforcement learning, where the environment transition model is unknown and can only be learned via expensive interactions with the environment. We propose H-MARL (Hallucinated Multi-Agent Reinforcement…