Ghost Expectation Point with Deep Reinforcement Learning in Financial Portfolio Management

Xuting Yang, Ruoyu Sun, Xiaotian Ren, Angelos Stefanidis, Fengchen Gu*, Jionglong Su*

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingConference Proceedingpeer-review

Abstract

Reinforcement learning algorithms have a wide range of applications in diverse areas, such as portfolio management, automatic driving, and visual object detection. This paper introduces a novel network architecture Ghost expectation point (GXPT) embedded in a deep reinforcement learning framework based on GhostNet, which is constructed using convolutional neural networks and ghost bottleneck modules. The Ghost bottleneck module can generate many Ghost feature maps, improving the ability of the network to extract information from the real-world market. Furthermore, the number of parameters and floating point operations (FLOPs) is reduced. We use the GXPT to realize Jiang et al.'s Ensemble of Identical Independent Evaluators (EIIE) framework. In the EIIE framework, GhostNet is adapted to implement Identical Independent Evaluators to evaluate the growth potential of each asset. In our experiments, we chose the Accumulated Portfolio Value (APV) and the Sharpe Ratio (SR) to assess the efficiency of our strategy in the back-test. It is found that our strategy is at least 5.11% and 29.9% higher than the comparison strategies in APV and SR, respectively.

Original languageEnglish
Title of host publicationProceedings - 2022 International Conference on Cyber-Enabled Distributed Computing and Knowledge Discovery, CyberC 2022
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages136-142
Number of pages7
ISBN (Electronic)9798350331547
DOIs
Publication statusPublished - 2022
Event12th International Conference on Cyber-Enabled Distributed Computing and Knowledge Discovery, CyberC 2022 - Virtual, Online, China
Duration: 15 Dec 202216 Dec 2022

Publication series

NameProceedings - 2022 International Conference on Cyber-Enabled Distributed Computing and Knowledge Discovery, CyberC 2022

Conference

Conference12th International Conference on Cyber-Enabled Distributed Computing and Knowledge Discovery, CyberC 2022
Country/TerritoryChina
CityVirtual, Online
Period15/12/2216/12/22

Keywords

  • GhostNet
  • deep reinforcement learning
  • financial portfolio management

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