Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Wealth Flow Model: Online Portfolio Selection Based on Learning Wealth Flow Matrices

Wealth Flow Model: Online Portfolio Selection Based on Learning Wealth Flow Matrices This article proposes a deep learning solution to the online portfolio selection problem based on learning a latent structure directly from a price time series. It introduces a novel wealth flow matrix for representing a latent structure that has special regular conditions to encode the knowledge about the relative strengths of assets in portfolios. Therefore, a wealth flow model (WFM) is proposed to learn wealth flow matrices and maximize portfolio wealth simultaneously. Compared with existing approaches, our work has several distinctive benefits: (1) the learning of wealth flow matrices makes our model more generalizable than models that only predict wealth proportion vectors, and (2) the exploitation of wealth flow matrices and the exploration of wealth growth are integrated into our deep reinforcement algorithm for the WFM. These benefits, in combination, lead to a highly-effective approach for generating reasonable investment behavior, including short-term trend following, the following of a few losers, no self-investment, and sparse portfolios. Extensive experiments on five benchmark datasets from real-world stock markets confirm the theoretical advantage of the WFM, which achieves the Pareto improvements in terms of multiple performance indicators and the steady growth of wealth over the state-of-the-art algorithms. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png ACM Transactions on Knowledge Discovery from Data (TKDD) Association for Computing Machinery

Wealth Flow Model: Online Portfolio Selection Based on Learning Wealth Flow Matrices

Loading next page...
 
/lp/association-for-computing-machinery/wealth-flow-model-online-portfolio-selection-based-on-learning-wealth-0kTtiXsMjo
Publisher
Association for Computing Machinery
Copyright
Copyright © 2021 Association for Computing Machinery.
ISSN
1556-4681
eISSN
1556-472X
DOI
10.1145/3464308
Publisher site
See Article on Publisher Site

Abstract

This article proposes a deep learning solution to the online portfolio selection problem based on learning a latent structure directly from a price time series. It introduces a novel wealth flow matrix for representing a latent structure that has special regular conditions to encode the knowledge about the relative strengths of assets in portfolios. Therefore, a wealth flow model (WFM) is proposed to learn wealth flow matrices and maximize portfolio wealth simultaneously. Compared with existing approaches, our work has several distinctive benefits: (1) the learning of wealth flow matrices makes our model more generalizable than models that only predict wealth proportion vectors, and (2) the exploitation of wealth flow matrices and the exploration of wealth growth are integrated into our deep reinforcement algorithm for the WFM. These benefits, in combination, lead to a highly-effective approach for generating reasonable investment behavior, including short-term trend following, the following of a few losers, no self-investment, and sparse portfolios. Extensive experiments on five benchmark datasets from real-world stock markets confirm the theoretical advantage of the WFM, which achieves the Pareto improvements in terms of multiple performance indicators and the steady growth of wealth over the state-of-the-art algorithms.

Journal

ACM Transactions on Knowledge Discovery from Data (TKDD)Association for Computing Machinery

Published: Sep 4, 2021

Keywords: Online portfolio selection

References