Investment portfolio management method based on deep reinforcement learning

A management method and reinforcement learning technology, applied in the field of investment portfolio management based on deep reinforcement learning, can solve problems that affect the application value and generalization ability of the model, and achieve the effect of improving the problem of gradient disappearance, high accuracy, and improving efficiency

Pending Publication Date: 2022-06-28
XIAN JIAOTONG LIVERPOOL UNIV
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Problems solved by technology

This seriously affects the application value and generalization ability of the model

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  • Investment portfolio management method based on deep reinforcement learning
  • Investment portfolio management method based on deep reinforcement learning
  • Investment portfolio management method based on deep reinforcement learning

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Embodiment Construction

[0066] The objects, advantages and features of the present invention will be illustrated and explained by the following non-limiting description of the preferred embodiments. These embodiments are only typical examples of applying the technical solutions of the present invention, and all technical solutions formed by taking equivalent replacements or equivalent transformations fall within the scope of protection of the present invention.

[0067] In the description of the scheme, it should be noted that the terms "center", "upper", "lower", "left", "right", "front", "rear", "vertical", "horizontal", " The orientation or positional relationship indicated by "inside", "outside", etc. is based on the orientation or positional relationship shown in the drawings, which is only for convenience and simplification of description, rather than indicating or implying that the indicated device or element must have a specific orientation , constructed and operated in a specific orientation...

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Abstract

The invention discloses an investment portfolio management method based on deep reinforcement learning. The method comprises the following steps: constructing a neural network model of a cryptocurrency transaction scene based on convolution, deep convolution, an extrusion and excitation module, a residual block and a gate circulation unit; training a neural network model based on convolution, deep convolution, an extrusion and excitation module, a residual block and a gate circulation unit to optimize the parameters of the neural network model; loading trained neural network model parameters based on convolution, deep convolution, an extrusion and excitation module, a residual block and a gate cycle unit, and receiving historical price data of cryptocurrency; and obtaining the asset allocation weight at the beginning of the next transaction cycle through the neural network model based on the convolution, deep convolution, extrusion and excitation module, the residual block and the gate circulation unit, and adjusting the allocation of assets in the cryptocurrency market according to the asset allocation weight, thereby obtaining an optimal investment strategy.

Description

technical field [0001] The invention relates to the technical field of artificial intelligence, in particular to an investment portfolio management method based on deep reinforcement learning in machine learning. Background technique [0002] With the development of artificial intelligence technology, reinforcement learning algorithms have been applied to the financial field. At present, by building a suitable interactive environment, the reinforcement learning model based on neural network has been preliminarily applied to asset management, such as the method shown in the application number 201910321426.X. [0003] However, because the action space in asset management is too large, a single convolution cannot fully explore it, so the benefits of a single convolution model are not very good. In the convolution model of asset management, action is defined as the asset allocation weight determined at the beginning of each transaction cycle. Under this definition, a discrete a...

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06G06Q40/04G06N3/04G06N3/08
CPCG06Q40/06G06Q40/04G06N3/08G06N3/045
Inventor 苏炯龙顾封琛覃一欣
Owner XIAN JIAOTONG LIVERPOOL UNIV
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