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A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem

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Cited by:

  1. Ahmet Murat Ozbayoglu & Mehmet Ugur Gudelek & Omer Berat Sezer, 2020. "Deep Learning for Financial Applications : A Survey," Papers 2002.05786, arXiv.org.
  2. 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.
  3. Charl Maree & Christian W. Omlin, 2022. "Balancing Profit, Risk, and Sustainability for Portfolio Management," Papers 2207.02134, arXiv.org.
  4. 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.
  5. 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 Feb 2024.
  6. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  7. 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.
  8. Nymisha Bandi & Theja Tulabandhula, 2020. "Off-Policy Optimization of Portfolio Allocation Policies under Constraints," Papers 2012.11715, arXiv.org.
  9. Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
  10. 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).
  11. Ziming Gao & Yuan Gao & Yi Hu & Zhengyong Jiang & Jionglong Su, 2020. "Application of Deep Q-Network in Portfolio Management," Papers 2003.06365, arXiv.org.
  12. Liu Ziyin & Kentaro Minami & Kentaro Imajo, 2021. "Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction," Papers 2106.04114, arXiv.org, revised Dec 2022.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
  18. 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.
  19. 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.
  20. 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.
  21. Jonas Hanetho, 2023. "Commodities Trading through Deep Policy Gradient Methods," Papers 2309.00630, arXiv.org.
  22. 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.
  23. Le Trung Hieu, 2020. "Deep Reinforcement Learning for Stock Portfolio Optimization," Papers 2012.06325, arXiv.org.
  24. Zhenhan Huang & Fumihide Tanaka, 2023. "A Scalable Reinforcement Learning-based System Using On-Chain Data for Cryptocurrency Portfolio Management," Papers 2307.01599, arXiv.org.
  25. Alessio Brini & Daniele Tantari, 2021. "Deep Reinforcement Trading with Predictable Returns," Papers 2104.14683, arXiv.org, revised May 2023.
  26. 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.
  27. 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.
  28. Brini, Alessio & Tantari, Daniele, 2023. "Deep reinforcement trading with predictable returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  29. 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.
  30. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  31. 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.
  32. 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.
  33. 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.
  34. Jonas Hanetho, 2023. "Deep Policy Gradient Methods in Commodity Markets," Papers 2308.01910, arXiv.org.
  35. Ruan Pretorius & Terence van Zyl, 2022. "Deep Reinforcement Learning and Convex Mean-Variance Optimisation for Portfolio Management," Papers 2203.11318, arXiv.org.
  36. 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.
  37. 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.
  38. 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.
  39. Farzan Soleymani & Eric Paquet, 2021. "Deep Graph Convolutional Reinforcement Learning for Financial Portfolio Management -- DeepPocket," Papers 2105.08664, arXiv.org.
  40. Brini, Alessio & Tedeschi, Gabriele & Tantari, Daniele, 2023. "Reinforcement learning policy recommendation for interbank network stability," Journal of Financial Stability, Elsevier, vol. 67(C).
  41. 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.
  42. 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.
  43. Jiayue Zhang & Ken Seng Tan & Tony S. Wirjanto & Lysa Porth, 2023. "Navigating Uncertainty in ESG Investing," Papers 2310.02163, arXiv.org.
  44. 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.
  45. 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.
  46. 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.
  47. Hui Niu & Siyuan Li & Jian Li, 2022. "MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization," Papers 2210.01774, arXiv.org.
  48. Carbonneau, Alexandre, 2021. "Deep hedging of long-term financial derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 327-340.
  49. Andrew Ye & James Xu & Yi Wang & Yifan Yu & Daniel Yan & Ryan Chen & Bosheng Dong & Vipin Chaudhary & Shuai Xu, 2024. "Learning the Market: Sentiment-Based Ensemble Trading Agents," Papers 2402.01441, arXiv.org.
  50. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
  51. Adrian Millea, 2021. "Deep Reinforcement Learning for Trading—A Critical Survey," Data, MDPI, vol. 6(11), pages 1-25, November.
  52. 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.
  53. 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.
  54. Martino Banchio & Giacomo Mantegazza, 2022. "Artificial Intelligence and Spontaneous Collusion," Papers 2202.05946, arXiv.org, revised Sep 2023.
  55. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
  56. Gang Huang & Xiaohua Zhou & Qingyang Song, 2020. "Deep reinforcement learning for portfolio management," Papers 2012.13773, arXiv.org, revised Apr 2022.
  57. Miquel Noguer i Alonso & Sonam Srivastava, 2020. "Deep Reinforcement Learning for Asset Allocation in US Equities," Papers 2010.04404, arXiv.org.
  58. 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.
  59. Uta Pigorsch & Sebastian Schafer, 2021. "High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning," Papers 2112.04755, arXiv.org.
  60. 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.
  61. 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.
  62. 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).
  63. Taylan Kabbani & Ekrem Duman, 2022. "Deep Reinforcement Learning Approach for Trading Automation in The Stock Market," Papers 2208.07165, arXiv.org.
  64. Huanming Zhang & Zhengyong Jiang & Jionglong Su, 2021. "A Deep Deterministic Policy Gradient-based Strategy for Stocks Portfolio Management," Papers 2103.11455, arXiv.org.
  65. 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.
  66. Maochun Xu & Zixun Lan & Zheng Tao & Jiawei Du & Zongao Ye, 2023. "Deep Reinforcement Learning for Quantitative Trading," Papers 2312.15730, arXiv.org.
  67. Eric Benhamou & David Saltiel & Sandrine Ungari & Abhishek Mukhopadhyay, 2020. "Time your hedge with Deep Reinforcement Learning," Papers 2009.14136, arXiv.org, revised Nov 2020.
  68. 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.
  69. 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.
  70. 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.
  71. Ricard Durall, 2022. "Asset Allocation: From Markowitz to Deep Reinforcement Learning," Papers 2208.07158, arXiv.org.
  72. 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.
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