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Register a new userOnline Learning of Commission Avoidant Portfolio Ensembles
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Added by
Guy Uziel
Publication date
2016
fields
Informatics Engineering
and research's language is
English
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We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art.
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We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization to control capital allocation to underlying investment algorithms while encouraging non-sparsity over the given grouping. We prove a logarithmic regret for this procedure with respect to the best-in-hindsight ensemble. We applied the procedure with known mean-reversion portfolio selection algorithms using the standard GICS industry sector grouping. Empirical Experimental results showed an impressive percentage increase of risk-adjusted return (Sharpe ratio).
The temporal-difference methods TD($lambda$) and Sarsa($lambda$) form a core part of modern reinforcement learning. Their appeal comes from their good performance, low computational cost, and their simple interpretation, given by their forward view. Recently, n
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of assets to achieve positive investment outcomes while managing risks. Various algorithms have been proposed for solving this problem in fields such as finance, statistics and machine learning, among others. Most of the methods have parameters that are estimated from backtests for good performance. Since these algorithms operate on non-stationary data that reflects the complexity of financial markets, we posit that adaptively tuning these parameters in an intelligent manner is a remedy for dealing with this complexity. In this paper, we model the mapping between the parameter space and the space of performance metrics using a Gaussian process prior. We then propose an oracle based on adaptive Bayesian optimization for automatically and adaptively configuring online portfolio selection methods. We test the efficacy of our solution on algorithms operating on equity and index data from various markets.
Recent research has shown that a single arbitrarily efficient solver can be significantly outperformed by a portfolio of possibly slower on-average solvers. The solver selection is usually done by means of (un)supervised learning techniques which exploit features extracted from the problem specification. In this paper we present an useful and flexible framework that is able to extract an extensive set of features from a Constraint (Satisfaction/Optimization) Problem defined in possibly different modeling languages: MiniZinc, FlatZinc or XCSP. We also report some empirical results showing that the performances that can be obtained using these features are effective and competitive with state of the art CSP portfolio techniques.
Using neural networks in the reinforcement learning (RL) framework has achieved notable successes. Yet, neural networks tend to forget what they learned in the past, especially when they learn online and fully incrementally, a setting in which the weights are updated after each sample is received and the sample is then discarded. Under this setting, an update can lead to overly global generalization by changing too many weights. The global generalization interferes with what was previously learned and deteriorates performance, a phenomenon known as catastrophic interference. Many previous works use mechanisms such as experience replay (ER) buffers to mitigate interference by performing minibatch updates, ensuring the data distribution is approximately independent-and-identically-distributed (i.i.d.). But using ER would become infeasible in terms of memory as problem complexity increases. Thus, it is crucial to look for more memory-efficient alternatives. Interference can be averted if we replace global updates with more local ones, so only weights responsible for the observed data sample are updated. In this work, we propose the use of dynamic self-organizing map (DSOM) with neural networks to induce such locality in the updates without ER buffers. Our method learns a DSOM to produce a mask to reweigh each hidden units output, modulating its degree of use. It prevents interference by replacing global updates with local ones, conditioned on the agents state. We validate our method on standard RL benchmarks including Mountain Car and Lunar Lander, where existing methods often fail to learn without ER. Empirically, we show that our online and fully incremental method is on par with and in some cases, better than state-of-the-art in terms of final performance and learning speed. We provide visualizations and quantitative measures to show that our method indeed mitigates interference.
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