English

A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

Computational Finance 2017-07-18 v2 Artificial Intelligence Portfolio Management

Abstract

Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution to the portfolio management problem. The framework 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. This framework is realized in three instants in this work with a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). They are, along with a number of recently reviewed or published portfolio-selection strategies, examined in three back-test experiments with a trading period of 30 minutes in a cryptocurrency market. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the best-known example of a cryptocurrency. All three instances of the framework monopolize the top three positions in all experiments, outdistancing other compared trading algorithms. Although with a high commission rate of 0.25% in the backtests, the framework is able to achieve at least 4-fold returns in 50 days.

Keywords

Cite

@article{arxiv.1706.10059,
  title  = {A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem},
  author = {Zhengyao Jiang and Dixing Xu and Jinjun Liang},
  journal= {arXiv preprint arXiv:1706.10059},
  year   = {2017}
}

Comments

30 pages, 5 figures, submitting to JMLR

R2 v1 2026-06-22T20:34:12.401Z