1. Optimizing Stock Portfolios Using Deep Learning
- Author
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Krvavica, Niko and Čeperić, Vladimir
- Subjects
deep reinforcement learning ,graph theory ,leiden algorithm ,TEHNIČKE ZNANOSTI. Računarstvo ,teorija grafova ,convolutional autoencoder ,leiden-ov algoritam ,upravljanje portfeljom ,TECHNICAL SCIENCES. Computing ,arhitektura Transformer ,konvolucijski autoenkoder ,duboko potporno ucenje ,portfolio managment ,Transformer architecture - Abstract
U ovom radu opisan je sustav za konstruiranje i upravljanje portfeljom dionica. Konstruiranje diversificiranog portfelja dionica je napravljeno korištenjem konvolucijskog autoenkodera i Leiden-ovog algoritma za otkrivanje zajednica. Upravljanje konstruiranim portfeljom dionica napravljeno pomoću metoda iz dubokog potpornog učenja. Arhitekutra agenta koji je donosio odluke je bila izmjenjena arhitektura Transformera. Opisani sustav je ispitan na vremenskim nizovima cijena dionica koje pripadaju S&P 500 indexu. This paper describes a system for constructing and managing a stock portfolio. The construction of a diversified stock portfolio was done using a convolutional autoencoder and Leiden’s community detection algorithm. Stock portfolio managment was done using methods from deep reinforcement learning. The architecture of agent in deep reinforcement learning was modified architecture of the Transformer. The described system has been tested on stock price time series belonging to the S&P 500 index
- Published
- 2022