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Revolutionising Financial Portfolio Management: The Non-Stationary Transformer’s Fusion of Macroeconomic Indicators and Sentiment Analysis in a Deep Reinforcement Learning Framework

  • Yuchen Liu
  • , Daniil Mikriukov
  • , Owen Christopher Tjahyadi
  • , Gangmin Li
  • , Terry R. Payne
  • , Yong Yue
  • , Kamran Siddique
  • , Ka Lok Man*
  • *Corresponding author for this work
    • Xi'an Jiaotong-Liverpool University
    • University of Liverpool
    • University of Bedfordshire
    • University of Alaska Anchorage

    Research output: Contribution to journal › Article › peer-review

    20 Citations (Scopus)

    Abstract

    In the evolving landscape of portfolio management (PM), the fusion of advanced machine learning techniques with traditional financial methodologies has opened new avenues for innovation. Our study introduces a cutting-edge model combining deep reinforcement learning (DRL) with a non-stationary transformer architecture. This model is designed to decode complex patterns in financial time-series data, enhancing portfolio management strategies with deeper insights and robustness. It effectively tackles the challenges of data heterogeneity and market uncertainty, key obstacles in PM. Our approach integrates key macroeconomic indicators and targeted news sentiment analysis into its framework, capturing a comprehensive picture of market dynamics. This amalgamation of varied data types addresses the multifaceted nature of financial markets, enhancing the model’s ability to navigate the complexities of asset management. Rigorous testing demonstrates the model’s efficacy, highlighting the benefits of blending diverse data sources and sophisticated algorithmic approaches in mastering the nuances of PM.

    Original languageEnglish
    Article number274
    JournalApplied Sciences (Switzerland)
    Volume14
    Issue number1
    DOIs
    Publication statusPublished - Jan 2024

    Keywords

    • data heterogeneity
    • deep reinforcement learning (DRL)
    • diverse knowledge integration
    • market uncertainty
    • multimodal learning
    • non-stationary transformer
    • portfolio management (PM)
    • sequential processing

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