TY - GEN
T1 - Dynamic Graph-based Deep Reinforcement Learning with Long and Short-term Relation Modeling for Portfolio Optimization
AU - Sun, Haoyu
AU - Bian, Yuxuan
AU - Han, Li
AU - Zhu, Peng
AU - Cheng, Dawei
AU - Liang, Yuqi
N1 - Publisher Copyright:
© 2024 ACM.
PY - 2024/10/21
Y1 - 2024/10/21
N2 - Portfolio optimization is a significant concern in finance. Existing research on portfolio optimization fails to adequately learn from the long and short-term relationships among equities, which inevitably leads to suboptimal performance. In this paper, we propose a Dynamic Graph-based Deep Reinforcement Learning (DGDRL) for optimal portfolio decisions. We achieve this goal by devising two mechanisms for naturally modeling the financial market. Firstly, we utilize the static and dynamic graphs to represent the long and short-term relations, which are then naturally represented by the proposed multi-channel graph attention neural network. Secondly, compared with the traditional two-phase approach, forecasting equity's trend and then weighting them by combinatorial optimization, we naturally optimize the portfolio decisions, which could directly guide the model to converge to optimal rewards. Through extensive experiments on three real-world datasets, we have demonstrated that our method significantly outperforms state-of-the-art benchmark methods in portfolio management. Furthermore, the evaluation of the industrial trading system has shown the applicability of our model to real-world financial markets.
AB - Portfolio optimization is a significant concern in finance. Existing research on portfolio optimization fails to adequately learn from the long and short-term relationships among equities, which inevitably leads to suboptimal performance. In this paper, we propose a Dynamic Graph-based Deep Reinforcement Learning (DGDRL) for optimal portfolio decisions. We achieve this goal by devising two mechanisms for naturally modeling the financial market. Firstly, we utilize the static and dynamic graphs to represent the long and short-term relations, which are then naturally represented by the proposed multi-channel graph attention neural network. Secondly, compared with the traditional two-phase approach, forecasting equity's trend and then weighting them by combinatorial optimization, we naturally optimize the portfolio decisions, which could directly guide the model to converge to optimal rewards. Through extensive experiments on three real-world datasets, we have demonstrated that our method significantly outperforms state-of-the-art benchmark methods in portfolio management. Furthermore, the evaluation of the industrial trading system has shown the applicability of our model to real-world financial markets.
KW - deep reinforcement learning
KW - graph neural networks
KW - portfolio optimization
UR - https://www.scopus.com/pages/publications/85210034125
U2 - 10.1145/3627673.3680039
DO - 10.1145/3627673.3680039
M3 - 会议稿件
AN - SCOPUS:85210034125
T3 - International Conference on Information and Knowledge Management, Proceedings
SP - 4898
EP - 4905
BT - CIKM 2024 - Proceedings of the 33rd ACM International Conference on Information and Knowledge Management
PB - Association for Computing Machinery
T2 - 33rd ACM International Conference on Information and Knowledge Management, CIKM 2024
Y2 - 21 October 2024 through 25 October 2024
ER -