A Reinforcement Learning Framework for Portfolio Management Problem Leveraging Stocks Historical Data And Their Correlation, M.Sc. Thesis Sharif University of Technology ; Fazli, Mohammad Amin (Supervisor)
Abstract
Over the past few years, deep reinforcement learning(DRL) has been given a lot of attention in finance for portfolio management. With the help of experts’ signals and historical price data, we have developed a new reinforcement learning(RL) method. The use of experts’ signals in tandem with DRL has been used before in finance, but we believe this is the first time this method has been used to solve the financial portfolio management problem. As our agent, we used the Proximal Policy Optimization(PPO) algorithm to process the reward and take actions in the environment. Our framework comprises a convolutional network to aggregate signals, a convolutional network for historical price data, and...
Cataloging briefA Reinforcement Learning Framework for Portfolio Management Problem Leveraging Stocks Historical Data And Their Correlation, M.Sc. Thesis Sharif University of Technology ; Fazli, Mohammad Amin (Supervisor)
Abstract
Over the past few years, deep reinforcement learning(DRL) has been given a lot of attention in finance for portfolio management. With the help of experts’ signals and historical price data, we have developed a new reinforcement learning(RL) method. The use of experts’ signals in tandem with DRL has been used before in finance, but we believe this is the first time this method has been used to solve the financial portfolio management problem. As our agent, we used the Proximal Policy Optimization(PPO) algorithm to process the reward and take actions in the environment. Our framework comprises a convolutional network to aggregate signals, a convolutional network for historical price data, and...
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