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DC Field | Value | Language |
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dc.date.accessioned | 2022-03-21T16:41:29Z | - |
dc.date.available | 2022-03-21T16:41:29Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Cuschieri, N. (2021). Deep reinforcement learning for financial portfolio optimisation (Master’s dissertation). | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/91919 | - |
dc.description | M.Sc.(Melit.) | en_GB |
dc.description.abstract | Portfolio Selection (PS) is a perennial financial engineering problem that requires determining a strategy for dynamically allocating wealth among a set of portfolio assets to maximise the long-term return. We investigate state-of-the-art Deep Reinforcement Learning (DRL) algorithms that have proven to be ideal for continuous action spaces, mainly Deep Deterministic Policy Gradient (DDPG) and Twin Delayed Deep Deterministic Policy Gradient (TD3), for the PS problem. Furthermore, we investigate the effect of including stock movement prediction indicators in the state representation and the potential of using an ensemble framework that combines multiple DRL models. We formulate experiments to evaluate our DRL models on real data from the American stock market, against benchmarks including state-of-the-art online portfolio selection (OLPS) approaches, using measures consisting of Average daily yield, Sharpe ratio, Sortino ratio and Maximum drawdown. Our experiments show that TD3-based models generally perform better than DDPG-based ones when used on real stock trading data. Furthermore, the introduction of additional financial indicators in the state representation was found to have a positive effect overall. Lastly, an ensemble model also showed promising results, consistently beating the baselines used, albeit not all other DRL models. | en_GB |
dc.language.iso | en | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Reinforcement learning | en_GB |
dc.subject | Machine learning | en_GB |
dc.subject | Algorithms | en_GB |
dc.subject | Stocks | en_GB |
dc.subject | Portfolio management | en_GB |
dc.title | Deep reinforcement learning for financial portfolio optimisation | en_GB |
dc.type | masterThesis | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.publisher.institution | University of Malta | en_GB |
dc.publisher.department | Faculty of ICT. Department of Artificial Intelligence | en_GB |
dc.description.reviewed | N/A | en_GB |
dc.contributor.creator | Cuchieri, Nigel (2021) | - |
Appears in Collections: | Dissertations - FacICT - 2021 Dissertations - FacICTAI - 2021 |
Files in This Item:
File | Description | Size | Format | |
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21MAIPT024.pdf | 5.02 MB | Adobe PDF | View/Open |
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