arXiv subjects

Xiao-Yang Liu

Publications and source records attributed to Xiao-Yang Liu.

At least 55 records · Page 3Linked to original sources

arXiv2023

Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfitting

Designing profitable and reliable trading strategies is challenging in the highly volatile cryptocurrency market. Existing works applied deep reinforcement learning methods and optimistically reported increased profits in backtesting, which may suffer from the false positive issue due to overfitting. In this paper, we propose a practical approach to address backtest overfitting for cryptocurrency trading using deep reinforcement learning. First, we formulate the detection of backtest overfitting as a hypothesis test. Then, we train the DRL agents, estimate the probability of overfitting, and reject the overfitted agents, increasing the chance of good trading performance. Finally, on 10 cryptocurrencies over a testing period from 05/01/2022 to 06/27/2022 (during which the crypto market crashed two times), we show that the less overfitted deep reinforcement learning agents have a higher return than that of more overfitted agents, an equal weight strategy, and the S&P DBM Index (market benchmark), offering confidence in possible deployment to a real market.

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arXiv2022

FinRL-Meta: Market Environments and Benchmarks for Data-Driven Financial Reinforcement Learning

Finance is a particularly difficult playground for deep reinforcement learning. However, establishing high-quality market environments and benchmarks for financial reinforcement learning is challenging due to three major factors, namely, low signal-to-noise ratio of financial data, survivorship bias of historical data, and model overfitting in the backtesting stage. In this paper, we present an openly accessible FinRL-Meta library that has been actively maintained by the AI4Finance community. First, following a DataOps paradigm, we will provide hundreds of market environments through an automatic pipeline that collects dynamic datasets from real-world markets and processes them into gym-style market environments. Second, we reproduce popular papers as stepping stones for users to design new trading strategies. We also deploy the library on cloud platforms so that users can visualize their own results and assess the relative performance via community-wise competitions. Third, FinRL-Meta provides tens of Jupyter/Python demos organized into a curriculum and a documentation website to serve the rapidly growing community. FinRL-Meta is available at: https://github.com/AI4Finance-Foundation/FinRL-Meta

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arXiv2022

Practical Deep Reinforcement Learning Approach for Stock Trading

Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock trading strategy and thus maximize investment return. 30 stocks are selected as our trading stocks and their daily prices are used as the training and trading market environment. We train a deep reinforcement learning agent and obtain an adaptive trading strategy. The agent's performance is evaluated and compared with Dow Jones Industrial Average and the traditional min-variance portfolio allocation strategy. The proposed deep reinforcement learning approach is shown to outperform the two baselines in terms of both the Sharpe ratio and cumulative returns.

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arXiv2022

ElegantRL-Podracer: Scalable and Elastic Library for Cloud-Native Deep Reinforcement Learning

Deep reinforcement learning (DRL) has revolutionized learning and actuation in applications such as game playing and robotic control. The cost of data collection, i.e., generating transitions from agent-environment interactions, remains a major challenge for wider DRL adoption in complex real-world problems. Following a cloud-native paradigm to train DRL agents on a GPU cloud platform is a promising solution. In this paper, we present a scalable and elastic library ElegantRL-podracer for cloud-native deep reinforcement learning, which efficiently supports millions of GPU cores to carry out massively parallel training at multiple levels. At a high-level, ElegantRL-podracer employs a tournament-based ensemble scheme to orchestrate the training process on hundreds or even thousands of GPUs, scheduling the interactions between a leaderboard and a training pool with hundreds of pods. At a low-level, each pod simulates agent-environment interactions in parallel by fully utilizing nearly 7,000 GPU CUDA cores in a single GPU. Our ElegantRL-podracer library features high scalability, elasticity and accessibility by following the development principles of containerization, microservices and MLOps. Using an NVIDIA DGX SuperPOD cloud, we conduct extensive experiments on various tasks in locomotion and stock trading and show that ElegantRL-podracer substantially outperforms RLlib. Our codes are available on GitHub.

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arXiv2022

FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance

As deep reinforcement learning (DRL) has been recognized as an effective approach in quantitative finance, getting hands-on experiences is attractive to beginners. However, to train a practical DRL trading agent that decides where to trade, at what price, and what quantity involves error-prone and arduous development and debugging. In this paper, we introduce a DRL library FinRL that facilitates beginners to expose themselves to quantitative finance and to develop their own stock trading strategies. Along with easily-reproducible tutorials, FinRL library allows users to streamline their own developments and to compare with existing schemes easily. Within FinRL, virtual environments are configured with stock market datasets, trading agents are trained with neural networks, and extensive backtesting is analyzed via trading performance. Moreover, it incorporates important trading constraints such as transaction cost, market liquidity and the investor's degree of risk-aversion. FinRL is featured with completeness, hands-on tutorial and reproducibility that favors beginners: (i) at multiple levels of time granularity, FinRL simulates trading environments across various stock markets, including NASDAQ-100, DJIA, S&P 500, HSI, SSE 50, and CSI 300; (ii) organized in a layered architecture with modular structure, FinRL provides fine-tuned state-of-the-art DRL algorithms (DQN, DDPG, PPO, SAC, A2C, TD3, etc.), commonly-used reward functions and standard evaluation baselines to alleviate the debugging workloads and promote the reproducibility, and (iii) being highly extendable, FinRL reserves a complete set of user-import interfaces. Furthermore, we incorporated three application demonstrations, namely single stock trading, multiple stock trading, and portfolio allocation. The FinRL library will be available on Github at link https://github.com/AI4Finance-LLC/FinRL-Library.

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arXiv2022

FinRL-Meta: A Universe of Near-Real Market Environments for Data-Driven Deep Reinforcement Learning in Quantitative Finance

Deep reinforcement learning (DRL) has shown huge potentials in building financial market simulators recently. However, due to the highly complex and dynamic nature of real-world markets, raw historical financial data often involve large noise and may not reflect the future of markets, degrading the fidelity of DRL-based market simulators. Moreover, the accuracy of DRL-based market simulators heavily relies on numerous and diverse DRL agents, which increases demand for a universe of market environments and imposes a challenge on simulation speed. In this paper, we present a FinRL-Meta framework that builds a universe of market environments for data-driven financial reinforcement learning. First, FinRL-Meta separates financial data processing from the design pipeline of DRL-based strategy and provides open-source data engineering tools for financial big data. Second, FinRL-Meta provides hundreds of market environments for various trading tasks. Third, FinRL-Meta enables multiprocessing simulation and training by exploiting thousands of GPU cores. Our codes are available online at https://github.com/AI4Finance-Foundation/FinRL-Meta.

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arXiv2021

Explainable Deep Reinforcement Learning for Portfolio Management: An Empirical Approach

Deep reinforcement learning (DRL) has been widely studied in the portfolio management task. However, it is challenging to understand a DRL-based trading strategy because of the black-box nature of deep neural networks. In this paper, we propose an empirical approach to explain the strategies of DRL agents for the portfolio management task. First, we use a linear model in hindsight as the reference model, which finds the best portfolio weights by assuming knowing actual stock returns in foresight. In particular, we use the coefficients of a linear model in hindsight as the reference feature weights. Secondly, for DRL agents, we use integrated gradients to define the feature weights, which are the coefficients between reward and features under a linear regression model. Thirdly, we study the prediction power in two cases, single-step prediction and multi-step prediction. In particular, we quantify the prediction power by calculating the linear correlations between the feature weights of a DRL agent and the reference feature weights, and similarly for machine learning methods. Finally, we evaluate a portfolio management task on Dow Jones 30 constituent stocks during 01/01/2009 to 09/01/2021. Our approach empirically reveals that a DRL agent exhibits a stronger multi-step prediction power than machine learning methods.

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arXiv2021

FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance

Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the market, namely \textit{to decide where to trade, at what price} and \textit{what quantity}, due to the error-prone programming and arduous debugging. In this paper, we present the first open-source framework \textit{FinRL} as a full pipeline to help quantitative traders overcome the steep learning curve. FinRL is featured with simplicity, applicability and extensibility under the key principles, \textit{full-stack framework, customization, reproducibility} and \textit{hands-on tutoring}. Embodied as a three-layer architecture with modular structures, FinRL implements fine-tuned state-of-the-art DRL algorithms and common reward functions, while alleviating the debugging workloads. Thus, we help users pipeline the strategy design at a high turnover rate. At multiple levels of time granularity, FinRL simulates various markets as training environments using historical data and live trading APIs. Being highly extensible, FinRL reserves a set of user-import interfaces and incorporates trading constraints such as market friction, market liquidity and investor's risk-aversion. Moreover, serving as practitioners' stepping stones, typical trading tasks are provided as step-by-step tutorials, e.g., stock trading, portfolio allocation, cryptocurrency trading, etc.

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arXiv2021

FinRL-Podracer: High Performance and Scalable Deep Reinforcement Learning for Quantitative Finance

Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning approaches has a number of limitations. The development of deep reinforcement learning techniques is partially addressing these issues. Unfortunately, the steep learning curve and the difficulty in quick modeling and agile development are impeding finance researchers from using deep reinforcement learning in quantitative trading. In this paper, we propose an RLOps in finance paradigm and present a FinRL-Podracer framework to accelerate the development pipeline of deep reinforcement learning (DRL)-driven trading strategy and to improve both trading performance and training efficiency. FinRL-Podracer is a cloud solution that features high performance and high scalability and promises continuous training, continuous integration, and continuous delivery of DRL-driven trading strategies, facilitating a rapid transformation from algorithmic innovations into a profitable trading strategy. First, we propose a generational evolution mechanism with an ensemble strategy to improve the trading performance of a DRL agent, and schedule the training of a DRL algorithm onto a GPU cloud via multi-level mapping. Then, we carry out the training of DRL components with high-performance optimizations on GPUs. Finally, we evaluate the FinRL-Podracer framework for a stock trend prediction task on an NVIDIA DGX SuperPOD cloud. FinRL-Podracer outperforms three popular DRL libraries Ray RLlib, Stable Baseline 3 and FinRL, i.e., 12% \sim 35% improvements in annual return, 0.1 \sim 0.6 improvements in Sharpe ratio and 3 times \sim 7 times speed-up in training time. We show the high scalability by training a trading agent in 10 minutes with $80$ A100 GPUs, on NASDAQ-100 constituent stocks with minute-level data over 10 years.

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arXiv2021

Towards Extremely Compact RNNs for Video Recognition with Fully Decomposed Hierarchical Tucker Structure

Recurrent Neural Networks (RNNs) have been widely used in sequence analysis and modeling. However, when processing high-dimensional data, RNNs typically require very large model sizes, thereby bringing a series of deployment challenges. Although various prior works have been proposed to reduce the RNN model sizes, executing RNN models in resource-restricted environments is still a very challenging problem. In this paper, we propose to develop extremely compact RNN models with fully decomposed hierarchical Tucker (FDHT) structure. The HT decomposition does not only provide much higher storage cost reduction than the other tensor decomposition approaches but also brings better accuracy performance improvement for the compact RNN models. Meanwhile, unlike the existing tensor decomposition-based methods that can only decompose the input-to-hidden layer of RNNs, our proposed fully decomposition approach enables the comprehensive compression for the entire RNN models with maintaining very high accuracy. Our experimental results on several popular video recognition datasets show that our proposed fully decomposed hierarchical tucker-based LSTM (FDHT-LSTM) is extremely compact and highly efficient. To the best of our knowledge, FDHT-LSTM, for the first time, consistently achieves very high accuracy with only few thousand parameters (3,132 to 8,808) on different datasets. Compared with the state-of-the-art compressed RNN models, such as TT-LSTM, TR-LSTM and BT-LSTM, our FDHT-LSTM simultaneously enjoys both order-of-magnitude (3,985x to 10,711x) fewer parameters and significant accuracy improvement (0.6% to 12.7%).

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arXiv2020

Spatiotemporal Graph Neural Network based Mask Reconstruction for Video Object Segmentation

This paper addresses the task of segmenting class-agnostic objects in semi-supervised setting. Although previous detection based methods achieve relatively good performance, these approaches extract the best proposal by a greedy strategy, which may lose the local patch details outside the chosen candidate. In this paper, we propose a novel spatiotemporal graph neural network (STG-Net) to reconstruct more accurate masks for video object segmentation, which captures the local contexts by utilizing all proposals. In the spatial graph, we treat object proposals of a frame as nodes and represent their correlations with an edge weight strategy for mask context aggregation. To capture temporal information from previous frames, we use a memory network to refine the mask of current frame by retrieving historic masks in a temporal graph. The joint use of both local patch details and temporal relationships allow us to better address the challenges such as object occlusion and missing. Without online learning and fine-tuning, our STG-Net achieves state-of-the-art performance on four large benchmarks (DAVIS, YouTube-VOS, SegTrack-v2, and YouTube-Objects), demonstrating the effectiveness of the proposed approach.

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arXiv2020

Jointly Cross- and Self-Modal Graph Attention Network for Query-Based Moment Localization

Query-based moment localization is a new task that localizes the best matched segment in an untrimmed video according to a given sentence query. In this localization task, one should pay more attention to thoroughly mine visual and linguistic information. To this end, we propose a novel Cross- and Self-Modal Graph Attention Network (CSMGAN) that recasts this task as a process of iterative messages passing over a joint graph. Specifically, the joint graph consists of Cross-Modal interaction Graph (CMG) and Self-Modal relation Graph (SMG), where frames and words are represented as nodes, and the relations between cross- and self-modal node pairs are described by an attention mechanism. Through parametric message passing, CMG highlights relevant instances across video and sentence, and then SMG models the pairwise relation inside each modality for frame (word) correlating. With multiple layers of such a joint graph, our CSMGAN is able to effectively capture high-order interactions between two modalities, thus enabling a further precise localization. Besides, to better comprehend the contextual details in the query, we develop a hierarchical sentence encoder to enhance the query understanding. Extensive experiments on four public datasets demonstrate the effectiveness of our proposed model, and GCSMAN significantly outperforms the state-of-the-arts.

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arXiv2020

Compressing Recurrent Neural Networks Using Hierarchical Tucker Tensor Decomposition

Recurrent Neural Networks (RNNs) have been widely used in sequence analysis and modeling. However, when processing high-dimensional data, RNNs typically require very large model sizes, thereby bringing a series of deployment challenges. Although the state-of-the-art tensor decomposition approaches can provide good model compression performance, these existing methods are still suffering some inherent limitations, such as restricted representation capability and insufficient model complexity reduction. To overcome these limitations, in this paper we propose to develop compact RNN models using Hierarchical Tucker (HT) decomposition. HT decomposition brings strong hierarchical structure to the decomposed RNN models, which is very useful and important for enhancing the representation capability. Meanwhile, HT decomposition provides higher storage and computational cost reduction than the existing tensor decomposition approaches for RNN compression. Our experimental results show that, compared with the state-of-the-art compressed RNN models, such as TT-LSTM, TR-LSTM and BT-LSTM, our proposed HT-based LSTM (HT-LSTM), consistently achieves simultaneous and significant increases in both compression ratio and test accuracy on different datasets.

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arXiv2020

Large-scale Causal Approaches to Debiasing Post-click Conversion Rate Estimation with Multi-task Learning

Post-click conversion rate (CVR) estimation is a critical task in e-commerce recommender systems. This task is deemed quite challenging under the industrial setting with two major issues: 1) selection bias caused by user self-selection, and 2) data sparsity due to the rare click events. A successful conversion typically has the following sequential events: "exposure -> click -> conversion". Conventional CVR estimators are trained in the click space, but the inference is done in the entire exposure space. They fail to account for the causes of the missing data and treat them as missing at random. Hence, their estimations are highly likely to deviate from the real values by large. In addition, the data sparsity issue can also handicap many industrial CVR estimators which usually have large parameter spaces. In this paper, we propose two principled, efficient and highly effective CVR estimators for industrial CVR estimation, namely, Multi-IPW and Multi-DR. The proposed models approach the CVR estimation from a causal perspective and account for the causes of missing not at random. In addition, our methods are based on the multi-task learning framework and mitigate the data sparsity issue. Extensive experiments on industrial-level datasets show that our methods outperform the state-of-the-art CVR models.

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arXiv2019

DP-LSTM: Differential Privacy-inspired LSTM for Stock Prediction Using Financial News

Stock price prediction is important for value investments in the stock market. In particular, short-term prediction that exploits financial news articles is promising in recent years. In this paper, we propose a novel deep neural network DP-LSTM for stock price prediction, which incorporates the news articles as hidden information and integrates difference news sources through the differential privacy mechanism. First, based on the autoregressive moving average model (ARMA), a sentiment-ARMA is formulated by taking into consideration the information of financial news articles in the model. Then, an LSTM-based deep neural network is designed, which consists of three components: LSTM, VADER model and differential privacy (DP) mechanism. The proposed DP-LSTM scheme can reduce prediction errors and increase the robustness. Extensive experiments on S&P 500 stocks show that (i) the proposed DP-LSTM achieves 0.32% improvement in mean MPA of prediction result, and (ii) for the prediction of the market index S&P 500, we achieve up to 65.79% improvement in MSE.

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arXiv2019

Risk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm Stock Prediction

Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters large cumulative errors because they cannot avoid anomalies. In this paper, we propose a novel deep neural network Mid-LSTM for midterm stock prediction, which incorporates the market trend as hidden states. First, based on the autoregressive moving average model (ARMA), a midterm ARMA is formulated by taking into consideration both hidden states and the capital asset pricing model. Then, a midterm LSTM-based deep neural network is designed, which consists of three components: LSTM, hidden Markov model and linear regression networks. The proposed Mid-LSTM can avoid anomalies to reduce large prediction errors, and has good explanatory effects on the factors affecting stock prices. Extensive experiments on S&P 500 stocks show that (i) the proposed Mid-LSTM achieves 2-4% improvement in prediction accuracy, and (ii) in portfolio allocation investment, we achieve up to 120.16% annual return and 2.99 average Sharpe ratio.

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arXiv2019

Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation

Portfolio allocation is crucial for investment companies. However, getting the best strategy in a complex and dynamic stock market is challenging. In this paper, we propose a novel Adaptive Deep Deterministic Reinforcement Learning scheme (Adaptive DDPG) for the portfolio allocation task, which incorporates optimistic or pessimistic deep reinforcement learning that is reflected in the influence from prediction errors. Dow Jones 30 component stocks are selected as our trading stocks and their daily prices are used as the training and testing data. We train the Adaptive DDPG agent and obtain a trading strategy. The Adaptive DDPG's performance is compared with the vanilla DDPG, Dow Jones Industrial Average index and the traditional min-variance and mean-variance portfolio allocation strategies. Adaptive DDPG outperforms the baselines in terms of the investment return and the Sharpe ratio.

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arXiv2019

TGAN: Deep Tensor Generative Adversarial Nets for Large Image Generation

Deep generative models have been successfully applied to many applications. However, existing works experience limitations when generating large images (the literature usually generates small images, e.g. 32 * 32 or 128 * 128). In this paper, we propose a novel scheme, called deep tensor adversarial generative nets (TGAN), that generates large high-quality images by exploring tensor structures. Essentially, the adversarial process of TGAN takes place in a tensor space. First, we impose tensor structures for concise image representation, which is superior in capturing the pixel proximity information and the spatial patterns of elementary objects in images, over the vectorization preprocess in existing works. Secondly, we propose TGAN that integrates deep convolutional generative adversarial networks and tensor super-resolution in a cascading manner, to generate high-quality images from random distributions. More specifically, we design a tensor super-resolution process that consists of tensor dictionary learning and tensor coefficients learning. Finally, on three datasets, the proposed TGAN generates images with more realistic textures, compared with state-of-the-art adversarial autoencoders. The size of the generated images is increased by over 8.5 times, namely 374 * 374 in PASCAL2.

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