Cross-Insight Trader: A Trading Approach Integrating Policies with Diverse Investment Horizons for Portfolio Management
Zetao Zheng, Jie Shao, Shilong Deng, Anjie Zhu, Heng Tao Shen, Xiaofang Zhou
摘要
Deep reinforcement learning (RL) has emerged as a promising approach for portfolio management due to its ability to make sequential decisions. However, applying RL techniques to this domain is still challenging due to the non-stationary nature of financial markets. Existing RL-based solutions fail to consider the intrinsic causes behind this non-stationary, which primarily stem from the involvement of diverse traders with distinct investment horizons and their varied investment strategies. In this paper, we tackle the non-stationary problem by examining its intrinsic causes and propose cross-insight trader, a novel two-step RL-based approach that integrates multiple trading policies with different investment horizons to adapt to the changing market conditions. In the first step, we learn multiple horizon-specific policies by providing each policy with tailored information specific to its investment horizon. This allows each policy to recognize dynamic patterns within its respective horizon and make insightful pre-decisions. In the second step, we learn a cross-insight policy to make the final trade decision by considering the investment pre-decisions made by multiple horizon-specific policies in the first step. To enable effective learning of two types of policies, our approach employs a centralized critic to evaluate the actions performed by both horizon-specific and cross-insight policies. By incorporating multiple insights from different investment horizons into the decision-making process, our approach enhances its adaptability to changing market conditions. Experimental results conducted on three stock markets demonstrate the superiority of our framework.
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