Quantitative_Finance
-
Logic-guided Deep Reinforcement Learning for Stock Trading
2023-10-09 09:20:13Zhiming Li, Junzhe Jiang, Yushi Cao, Aixin Cui, Bozhi Wu, Bo Li, Yang LiuAbstract
Deep reinforcement learning (DRL) has revolutionized quantitative finance by achieving excellent performance without significant manual effort. Whereas we observe that the DRL models behave unstably in a dynamic stock market due to the low signal-to-noise ratio nature of the financial data. In this paper, we propose a novel logic-guided trading framework, termed as SYENS (Program Synthesis-based Ensemble Strategy). Different from the previous state-of-the-art ensemble reinforcement learning strategy which arbitrarily selects the best-performing agent for testing based on a single measurement, our framework proposes regularizing the model's behavior in a hierarchical manner using the program synthesis by sketching paradigm. First, we propose a high-level, domain-specific language (DSL) that is used for the depiction of the market environment and action. Then based on the DSL, a novel program sketch is introduced, which embeds human expert knowledge in a logical manner. Finally, based on the program sketch, we adopt the program synthesis by sketching a paradigm and synthesizing a logical, hierarchical trading strategy. We evaluate SYENS on the 30 Dow Jones stocks under the cash trading and the margin trading settings. Experimental results demonstrate that our proposed framework can significantly outperform the baselines with much higher cumulative return and lower maximum drawdown under both settings.
Abstract (translated)
深度强化学习（DRL）通过实现无需大量手动努力的优秀性能，极大地推动了量化金融的发展。然而，我们观察到，由于金融数据信号与噪声比低，动态股票市场中的DRL模型表现不稳定。在本文中，我们提出了一个新颖的基于逻辑的指导交易框架，称为SYENS（基于程序合成的主导策略）。与之前的状态级强化学习策略不同，该框架通过绘制范式对模型的行为进行层次化规范。首先，我们提出了一个高级、领域特定的语言（DSL），用于描述市场环境和动作。然后基于DSL，我们引入了一个新颖的程序草图，以直观地表示人类专家知识。最后，基于程序草图，我们采用基于绘图范式进行程序合成，并合成一个逻辑分层交易策略。我们在现金交易和保证金交易设置下对30只道琼斯股票进行了对SYENS的评估。实验结果表明，与基线相比，我们的框架具有更高的累计回报和较低的最大回撤，尤其是在设置下。
URL
https://arxiv.org/abs/2310.05551
PDF
-
A Quantum Computing-based System for Portfolio Optimization using Future Asset Values and Automatic Reduction of the Investment Universe
2023-09-22 05:27:23Eneko Osaba, Guillaume Gelabert, Esther Villar-Rodriguez, Antón Asla, Izaskun OregiAbstract
One of the problems in quantitative finance that has received the most attention is the portfolio optimization problem. Regarding its solving, this problem has been approached using different techniques, with those related to quantum computing being especially prolific in recent years. In this study, we present a system called Quantum Computing-based System for Portfolio Optimization with Future Asset Values and Automatic Universe Reduction (Q4FuturePOP), which deals with the Portfolio Optimization Problem considering the following innovations: i) the developed tool is modeled for working with future prediction of assets, instead of historical values; and ii) Q4FuturePOP includes an automatic universe reduction module, which is conceived to intelligently reduce the complexity of the problem. We also introduce a brief discussion about the preliminary performance of the different modules that compose the prototypical version of Q4FuturePOP.
Abstract (translated)
在量化金融中,最受关注的问题之一是投资组合优化问题。关于如何解决这一问题,已经采用了多种技术,与量子计算相关的技术尤为活跃。在本研究中,我们介绍了一个系统,称为基于量子计算的投资组合优化系统,包括未来资产价值自动宇宙减少(Q4FuturePOP)。该系统处理了投资组合优化问题,考虑了以下创新:第一,开发工具是建模用于处理未来资产预测,而不是历史价值;第二,Q4FuturePOP包括一个自动宇宙减少模块,旨在 intelligently 减少问题的复杂性。我们还介绍了关于组成Q4FuturePOP的典型版本不同模块的初步性能的简要讨论。
URL
https://arxiv.org/abs/2309.12627
PDF
-
InvestLM: A Large Language Model for Investment using Financial Domain Instruction Tuning
2023-09-15 02:59:31Yi Yang, Yixuan Tang, Kar Yan TamAbstract
We present a new financial domain large language model, InvestLM, tuned on LLaMA-65B (Touvron et al., 2023), using a carefully curated instruction dataset related to financial investment. Inspired by less-is-more-for-alignment (Zhou et al., 2023), we manually curate a small yet diverse instruction dataset, covering a wide range of financial related topics, from Chartered Financial Analyst (CFA) exam questions to SEC filings to Stackexchange quantitative finance discussions. InvestLM shows strong capabilities in understanding financial text and provides helpful responses to investment related questions. Financial experts, including hedge fund managers and research analysts, rate InvestLM's response as comparable to those of state-of-the-art commercial models (GPT-3.5, GPT-4 and Claude-2). Zero-shot evaluation on a set of financial NLP benchmarks demonstrates strong generalizability. From a research perspective, this work suggests that a high-quality domain specific LLM can be tuned using a small set of carefully curated instructions on a well-trained foundation model, which is consistent with the Superficial Alignment Hypothesis (Zhou et al., 2023). From a practical perspective, this work develops a state-of-the-art financial domain LLM with superior capability in understanding financial texts and providing helpful investment advice, potentially enhancing the work efficiency of financial professionals. We release the model parameters to the research community.
Abstract (translated)
我们提出了一个新的金融 domain 大型语言模型,InvesLM,通过调整 LLaMA-65B(Touvron等人,2023)上与金融投资相关的精心 curated 指令 dataset 而成。受“少即是多”(Zhou等人,2023)启发,我们手动创建了一份小型但多样化的指令 dataset,涵盖了广泛的金融相关主题,包括CFA 考试问题、SEC 文件、Stackexchange quantitative finance 讨论等。InvesLM 在理解金融文本和回答与投资相关的问题方面表现出强大的能力。金融专家,包括对冲基金经理和研究分析师,将 InvestLM 的回答与最先进的商业模型(GPT-3.5、GPT-4和Claude-2)进行比较。在一项金融 NLP 基准任务的零样本评估中,表现出了强大的通用性。从研究的角度来看,这项工作表明,通过使用一支小型但精心 curated 的指令 dataset 并在受过良好训练的基础模型上调试,可以开发出高质量的金融 domain 特定的 LLM,这与“表面对齐假设”(Zhou等人,2023)是一致的。从实践的角度来看,这项工作开发了最先进的金融 domain LLM,在理解金融文本和提供有用的投资建议方面表现出卓越的能力,可能提高金融专业人士的工作效率。我们将模型参数向研究社区发布。
URL
https://arxiv.org/abs/2309.13064
PDF
-
Learning Multi-Agent Intention-Aware Communication for Optimal Multi-Order Execution in Finance
2023-07-06 16:45:40Yuchen Fang, Zhenggang Tang, Kan Ren, Weiqing Liu, Li Zhao, Jiang Bian, Dongsheng Li, Weinan Zhang, Yong Yu, Tie-Yan LiuAbstract
Order execution is a fundamental task in quantitative finance, aiming at finishing acquisition or liquidation for a number of trading orders of the specific assets. Recent advance in model-free reinforcement learning (RL) provides a data-driven solution to the order execution problem. However, the existing works always optimize execution for an individual order, overlooking the practice that multiple orders are specified to execute simultaneously, resulting in suboptimality and bias. In this paper, we first present a multi-agent RL (MARL) method for multi-order execution considering practical constraints. Specifically, we treat every agent as an individual operator to trade one specific order, while keeping communicating with each other and collaborating for maximizing the overall profits. Nevertheless, the existing MARL algorithms often incorporate communication among agents by exchanging only the information of their partial observations, which is inefficient in complicated financial market. To improve collaboration, we then propose a learnable multi-round communication protocol, for the agents communicating the intended actions with each other and refining accordingly. It is optimized through a novel action value attribution method which is provably consistent with the original learning objective yet more efficient. The experiments on the data from two real-world markets have illustrated superior performance with significantly better collaboration effectiveness achieved by our method.
Abstract (translated)
订单执行是量化金融中的一项基本任务,旨在完成对特定资产的一些交易订单的 acquisition 或 liquidation。最近在无模型强化学习(RL)方面的进展为订单执行问题提供了数据驱动的解决方案。然而,现有的工作总是优化单个订单的执行,忽略了多个订单被指定同时执行的现实情况,导致最优化和偏见。在本文中,我们首先提出了考虑实际约束条件的多Agent RL(MARL)方法,以执行多个订单。具体来说,我们将所有 Agent 视为单个交易员,执行一个特定的订单,同时与其他 Agent 保持沟通和协作,以最大化整体利润。尽管如此,现有的 MARL 算法往往通过仅交换其部分观察信息来集成 Agent 之间的通信,这在复杂的金融市场中效率低下。为了改善协作,我们随后提出了可学习多轮通信协议,以使 Agent 之间相互通信并相应地改进。它通过一种新的行为价值归因方法优化,该方法显然与原始学习目标保持一致,但更高效。从两个实际市场的数据实验可以看出,我们的方法取得了更好的表现,协作效果 significantly better。
URL
https://arxiv.org/abs/2307.03119
PDF
-
Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective
2022-03-14 05:34:00Nelson VadoriAbstract
One of the most fundamental questions in quantitative finance is the existence of continuous-time diffusion models that fit market prices of a given set of options. Traditionally, one employs a mix of intuition, theoretical and empirical analysis to find models that achieve exact or approximate fits. Our contribution is to show how a suitable game theoretical formulation of this problem can help solve this question by leveraging existing developments in modern deep multi-agent reinforcement learning to search in the space of stochastic processes. More importantly, we hope that our techniques can be leveraged and extended by the community to solve important problems in that field, such as the joint SPX-VIX calibration problem. Our experiments show that we are able to learn local volatility, as well as path-dependence required in the volatility process to minimize the price of a Bermudan option. In one sentence, our algorithm can be seen as a particle method à la Guyon et Henry-Labordere where particles, instead of being designed to ensure $\sigma_{loc}(t,S_t)^2 = \mathbb{E}[\sigma_t^2|S_t]$, are learning RL-driven agents cooperating towards more general calibration targets. This is the first work bridging reinforcement learning with the derivative calibration problem.
Abstract (translated)
URL
https://arxiv.org/abs/2203.06865
PDF
-
CTMSTOU driven markets: simulated environment for regime-awareness in trading policie
2022-02-02 10:27:12Selim Amrouni, Aymeric Moulin, Tucker BalchAbstract
Market regimes is a popular topic in quantitative finance even though there is little consensus on the details of how they should be defined. They arise as a feature both in financial market prediction problems and financial market task performing problems. In this work we use discrete event time multi-agent market simulation to freely experiment in a reproducible and understandable environment where regimes can be explicitly switched and enforced. We introduce a novel stochastic process to model the fundamental value perceived by market participants: Continuous-Time Markov Switching Trending Ornstein-Uhlenbeck (CTMSTOU), which facilitates the study of trading policies in regime switching markets. We define the notion of regime-awareness for a trading agent as well and illustrate its importance through the study of different order placement strategies in the context of order execution problems.
Abstract (translated)
URL
https://arxiv.org/abs/2202.00941
PDF
-
cCorrGAN: Conditional Correlation GAN for Learning Empirical Conditional Distributions in the Elliptope
2021-07-22 12:17:23Gautier Marti, Victor Goubet, Frank NielsenAbstract
We propose a methodology to approximate conditional distributions in the elliptope of correlation matrices based on conditional generative adversarial networks. We illustrate the methodology with an application from quantitative finance: Monte Carlo simulations of correlated returns to compare risk-based portfolio construction methods. Finally, we discuss about current limitations and advocate for further exploration of the elliptope geometry to improve results.
Abstract (translated)
我们提出了一种方法,以基于条件生成对抗网络的条件概率分布逼近关联矩阵的Elliptope。我们使用 quantitative finance 的一个应用来展示这种方法:对相关回报进行蒙特卡罗模拟,比较基于风险的组合构建方法。最后,我们讨论了当前的局限性,并倡导进一步探索Elliptope几何以提高结果。
URL
https://arxiv.org/abs/2107.10606
PDF
