Publication Type
Conference Proceeding Article
Version
publishedVersion
Publication Date
5-2024
Abstract
Portfolio management (PM) is a fundamental financial trading task, which explores the optimal periodical reallocation of capitals into different stocks to pursue long-term profits. Reinforcement learning (RL) has recently shown its potential to train profitable agents for PM through interacting with financial markets. However, existing work mostly focuses on fixed stock pools, which is inconsistent with investors’ practical demand. Specifically, the target stock pool of different investors varies dramatically due to their discrepancy on market states and individual investors may temporally adjust stocks they desire to trade (e.g., adding one popular stocks), which lead to customizable stock pools (CSPs). Existing RL methods require to retrain RL agents even with a tiny change of the stock pool, which leads to high computational cost and unstable performance. To tackle this challenge, we propose EarnMore, a rEinforcement leARNing framework with Maskable stOck REpresentation to handle PM with CSPs through one-shot training in a global stock pool (GSP). Specifically, we first introduce a mechanism to mask out the representation of the stocks outside the target pool. Second, we learn meaningful stock representations through a self-supervised masking and reconstruction process. Third, a re-weighting mechanism is designed to make the portfolio concentrate on favorable stocks and neglect the stocks outside the target pool. Through extensive experiments on 8 subset stock pools of the US stock market, we demonstrate that EarnMore significantly outperforms 14 stateof-the-art baselines in terms of 6 popular financial metrics with over 40% improvement on profit. Code is available in PyTorch https://github.com/DVampire/EarnMore.
Keywords
portfolio management, reinforcement learning, representation learning
Discipline
Artificial Intelligence and Robotics | Finance and Financial Management | Numerical Analysis and Scientific Computing
Research Areas
Intelligent Systems and Optimization
Areas of Excellence
Digital transformation
Publication
WWW '24: Proceedings of the ACM Web Conference, Singapore, May 13-17
First Page
187
Last Page
198
ISBN
9798400701719
Identifier
10.1145/3589334.3645615
Publisher
ACM
City or Country
New York
Citation
ZHANG, Wentao; ZHAO, Yilei; SUN, Shuo; YING, Jie; XIE, Yonggang; SONG, Zitao; WANG, Xinrun; and AN, Bo.
Reinforcement learning with maskable stock representation for portfolio management in customizable stock pools. (2024). WWW '24: Proceedings of the ACM Web Conference, Singapore, May 13-17. 187-198.
Available at: https://ink.library.smu.edu.sg/sis_research/9126
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Additional URL
https://doi.org/10.1145/3589334.3645615
Included in
Artificial Intelligence and Robotics Commons, Finance and Financial Management Commons, Numerical Analysis and Scientific Computing Commons