{"title":"Dynamic Portfolio Management Based on Pair Trading and Deep Reinforcement Learning","authors":"F. Xu, S. Tan","doi":"10.1145/3440840.3440861","DOIUrl":null,"url":null,"abstract":"Existing portfolio management methods have made great progress in diversifying non-systematic risks, but they have ignored systemic risks. In response to this issue, we proposed a dynamic, market-neutral, risk-diversified portfolio management model by combining the ideas of pair trading strategy, deep reinforcement learning with traditional portfolio management model. We conduct an experiment on the Chinese A-share market by selecting 32 pairs of stocks. The experiment results showed that the proposed pair-based deep portfolio model has superiority for dynamic portfolio management problem in trade-off investment returns and risks.","PeriodicalId":273859,"journal":{"name":"Proceedings of the 2020 3rd International Conference on Computational Intelligence and Intelligent Systems","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Proceedings of the 2020 3rd International Conference on Computational Intelligence and Intelligent Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1145/3440840.3440861","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 4
Abstract
Existing portfolio management methods have made great progress in diversifying non-systematic risks, but they have ignored systemic risks. In response to this issue, we proposed a dynamic, market-neutral, risk-diversified portfolio management model by combining the ideas of pair trading strategy, deep reinforcement learning with traditional portfolio management model. We conduct an experiment on the Chinese A-share market by selecting 32 pairs of stocks. The experiment results showed that the proposed pair-based deep portfolio model has superiority for dynamic portfolio management problem in trade-off investment returns and risks.
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