相关论文: Hybrid LSTM and PPO Networks for Dynamic Portfolio…

This paper presents Post-Decision Proximal Policy Optimization (PDPPO), a novel variation of the leading deep reinforcement learning method, Proximal Policy Optimization (PPO). The PDPPO state transition process is divided into two steps: a…

The liquidity risk factor of security market plays an important role in the formulation of trading strategies. A more liquid stock market means that the securities can be bought or sold more easily. As a sound indicator of market liquidity,…

A central problem in learning from sequential data is representing cumulative history in an incremental fashion as more data is processed. We introduce a general framework (HiPPO) for the online compression of continuous signals and…

The predict-then-optimize (PTO) framework is indispensable for addressing practical stochastic decision-making tasks. It consists of two crucial steps: initially predicting unknown parameters of an optimization model and subsequently…

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…

With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have…

This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…

In this paper, we implement three state-of-art continuous reinforcement learning algorithms, Deep Deterministic Policy Gradient (DDPG), Proximal Policy Optimization (PPO) and Policy Gradient (PG)in portfolio management. All of them are…

Compound AI systems, comprising multiple interacting components such as LLMs, foundation models, and external tools, have demonstrated remarkable improvements compared to single models in various tasks. To ensure their effective deployment…

In recent decades, financial quantification has emerged and matured rapidly. For financial institutions such as funds, investment institutions are increasingly dissatisfied with the situation of passively constructing investment portfolios…

This study proposes a hybrid deep learning model for forecasting the price of Bitcoin, as the digital currency is known to exhibit frequent fluctuations. The models used are the Variational Mode Decomposition (VMD) and the Long Short-Term…

Mathematical optimization is a powerful tool for structured decision-making across domains such as resource allocation and planning. Formulating optimization models faithful to reality, though, remains a significant bottleneck as it…

Predicting stock market movements remains a persistent challenge due to the inherently volatile, non-linear, and stochastic nature of financial time series data. This paper introduces a deep learning-based framework employing Long…

Model-free and reinforcement learning-based adaptive filtering methods are gaining traction for denoising in dynamic, non-stationary environments such as wireless signal channels. Traditional filters like LMS, RLS, Wiener, and Kalman are…

In this paper we design hybrid control policies for hybrid systems whose mathematical models are unknown. Our contributions are threefold. First, we propose a framework for modelling the hybrid control design problem as a single Markov…

This paper presents a comparative analysis of the performances of three portfolio optimization approaches. Three approaches of portfolio optimization that are considered in this work are the mean-variance portfolio (MVP), hierarchical risk…

Very recently proximal policy optimization (PPO) algorithms have been proposed as first-order optimization methods for effective reinforcement learning. While PPO is inspired by the same learning theory that justifies trust region policy…

This paper proposes a multi-step probabilistic forecasting framework using a single neural-network based model to generate simultaneous point and interval forecasts. Our approach ensures non-crossing prediction intervals (PIs) through a…

Portfolio optimization is one of the essential fields of focus in finance. There has been an increasing demand for novel computational methods in this area to compute portfolios with better returns and lower risks in recent years. We…

This study develops and evaluates a deep reinforcement learning framework for dynamic portfolio allocation across global equity markets. The Soft Actor-Critic algorithm is used to learn continuous portfolio weights within a Markov Decision…