Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

A Quantitative Portfolio Management Method with Machine Learning Optimization Algorithm

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342679,
        author={Jianghao  Cui},
        title={A Quantitative Portfolio Management Method with Machine Learning Optimization Algorithm},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={financial trading strategies; deep learning; reinforcement learning; dqn},
        doi={10.4108/eai.17-11-2023.2342679}
    }
    
  • Jianghao Cui
    Year: 2024
    A Quantitative Portfolio Management Method with Machine Learning Optimization Algorithm
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342679
Jianghao Cui1,*
  • 1: Nankai University
*Contact email: cuijianghao97@163.com

Abstract

In financial trading, an effective trading strategy is key to determining profit and loss. Due to the complexity and dynamics of financial markets, the automated selection of trading strategies has become the focus of modern financial research. This study utilizes deep learning and reinforcement learning methods, proposing an end-to-end deep reinforcement learning trading strategy algorithm that combines CNN and LSTM, named CLDQN. Within this framework, the CNN module is utilized to perceive dynamic market conditions of stocks and extract crucial features, while the LSTM module is responsible for learning long-term dependencies in the time series. After processing through the reinforcement learning method DQN, the algorithm makes trading decisions. To verify the effectiveness of CLDQN, we compared it with benchmark methods such as LSTM, SVM, and decision trees. Experimental results show that CLDQN's three-year cumulative return rate on four stocks is on average 1.1875%, 1.925%, and 2.3875% higher than that of LSTM, SVM, and decision trees respectively. These results not only demonstrate the superiority of the CLDQN method but also highlight its excellent scalability and robustness.