MOT:针对算法交易的最优传输强化学习方法

Xi Cheng, Jinghao Zhang, Yunan Zeng, Wenfang Xue
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引用次数: 0

摘要

算法交易是指根据自动识别的交易机会执行特定资产的买卖指令。基于强化学习(RL)的策略在解决算法交易问题方面表现出了卓越的能力。然而,由于分布数据的变化,不同市场条件下的交易模式也不尽相同。忽略数据中的多种模式将损害 RL 的性能。此外,我们还提出了预训练模块(Pretrain Module),通过将行为者的输出与专家策略相一致来促进模仿学习,从而更好地平衡 RL 的探索与利用。在真实期货市场数据上的实验结果表明,MOT 在平衡风险的同时表现出卓越的盈利能力。消融研究验证了 MOT 组件的有效性。
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MOT: A Mixture of Actors Reinforcement Learning Method by Optimal Transport for Algorithmic Trading
Algorithmic trading refers to executing buy and sell orders for specific assets based on automatically identified trading opportunities. Strategies based on reinforcement learning (RL) have demonstrated remarkable capabilities in addressing algorithmic trading problems. However, the trading patterns differ among market conditions due to shifted distribution data. Ignoring multiple patterns in the data will undermine the performance of RL. In this paper, we propose MOT,which designs multiple actors with disentangled representation learning to model the different patterns of the market. Furthermore, we incorporate the Optimal Transport (OT) algorithm to allocate samples to the appropriate actor by introducing a regularization loss term. Additionally, we propose Pretrain Module to facilitate imitation learning by aligning the outputs of actors with expert strategy and better balance the exploration and exploitation of RL. Experimental results on real futures market data demonstrate that MOT exhibits excellent profit capabilities while balancing risks. Ablation studies validate the effectiveness of the components of MOT.
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