Reinforcement-Learning based Portfolio Management with Augmented Asset Movement Prediction States

Portfolio management (PM) is a fundamental financial planning task that aims to achieve investment goals such as maximal profits or minimal risks. Its decision process involves continuous derivation of valuable information from various data sources and sequential decision optimization, which is a prospective research direction for reinforcement learning (RL). In this paper, we propose SARL, a novel State-Augmented RL framework for PM. Our framework aims to address two unique challenges in financial PM: (1) data heterogeneity -- the collected information for each asset is usually diverse, noisy and imbalanced (e.g., news articles); and (2) environment uncertainty -- the financial market is versatile and non-stationary. To incorporate heterogeneous data and enhance robustness against environment uncertainty, our SARL augments the asset information with their price movement prediction as additional states, where the prediction can be solely based on financial data (e.g., asset prices) or derived from alternative sources such as news. Experiments on two real-world datasets, (i) Bitcoin market and (ii) HighTech stock market with 7-year Reuters news articles, validate the effectiveness of SARL over existing PM approaches, both in terms of accumulated profits and risk-adjusted profits. Moreover, extensive simulations are conducted to demonstrate the importance of our proposed state augmentation, providing new insights and boosting performance significantly over standard RL-based PM method and other baselines.

Video Question Answering via Attribute-Augmented Attention Network Learning

Video Question Answering is a challenging problem in visual information retrieval, which provides the answer to the referenced video content according to the question. However, the existing visual question answering approaches mainly tackle the problem of static image question, which may be ineffectively for video question answering due to the insufficiency of modeling the temporal dynamics of video contents. In this paper, we study the problem of video question answering by modeling its temporal dynamics with frame-level attention mechanism. We propose the attribute-augmented attention network learning framework that enables the joint frame-level attribute detection and unified video representation learning for video question answering. We then incorporate the multi-step reasoning process for our proposed attention network to further improve the performance. We construct a large-scale video question answering dataset. We conduct the experiments on both multiple-choice and open-ended video question answering tasks to show the effectiveness of the proposed method.