YNetr: Dual-Encoder architecture on Plain Scan Liver Tumors

Background: Liver tumors are abnormal growths in the liver that can be either benign or malignant, with liver cancer being a significant health concern worldwide. However, there is no dataset for plain scan segmentation of liver tumors, nor any related algorithms. To fill this gap, we propose Plain Scan Liver Tumors(PSLT) and YNetr. Methods: A collection of 40 liver tumor plain scan segmentation datasets was assembled and annotated. Concurrently, we utilized Dice coefficient as the metric for assessing the segmentation outcomes produced by YNetr, having advantage of capturing different frequency information. Results: The YNetr model achieved a Dice coefficient of 62.63% on the PSLT dataset, surpassing the other publicly available model by an accuracy margin of 1.22%. Comparative evaluations were conducted against a range of models including UNet 3+, XNet, UNetr, Swin UNetr, Trans-BTS, COTr, nnUNetv2 (2D), nnUNetv2 (3D fullres), MedNext (2D) and MedNext(3D fullres). Conclusions: We not only proposed a dataset named PSLT(Plain Scan Liver Tumors), but also explored a structure called YNetr that utilizes wavelet transform to extract different frequency information, which having the SOTA in PSLT by experiments.

Combining Transformer based Deep Reinforcement Learning with Black-Litterman Model for Portfolio Optimization

As a model-free algorithm, deep reinforcement learning (DRL) agent learns and makes decisions by interacting with the environment in an unsupervised way. In recent years, DRL algorithms have been widely applied by scholars for portfolio optimization in consecutive trading periods, since the DRL agent can dynamically adapt to market changes and does not rely on the specification of the joint dynamics across the assets. However, typical DRL agents for portfolio optimization cannot learn a policy that is aware of the dynamic correlation between portfolio asset returns. Since the dynamic correlations among portfolio assets are crucial in optimizing the portfolio, the lack of such knowledge makes it difficult for the DRL agent to maximize the return per unit of risk, especially when the target market permits short selling (i.e., the US stock market). In this research, we propose a hybrid portfolio optimization model combining the DRL agent and the Black-Litterman (BL) model to enable the DRL agent to learn the dynamic correlation between the portfolio asset returns and implement an efficacious long/short strategy based on the correlation. Essentially, the DRL agent is trained to learn the policy to apply the BL model to determine the target portfolio weights. To test our DRL agent, we construct the portfolio based on all the Dow Jones Industrial Average constitute stocks. Empirical results of the experiments conducted on real-world United States stock market data demonstrate that our DRL agent significantly outperforms various comparison portfolio choice strategies and alternative DRL frameworks by at least 42% in terms of accumulated return. In terms of the return per unit of risk, our DRL agent significantly outperforms various comparative portfolio choice strategies and alternative strategies based on other machine learning frameworks.

A Deep Deterministic Policy Gradient-based Strategy for Stocks Portfolio Management

With the improvement of computer performance and the development of GPU-accelerated technology, trading with machine learning algorithms has attracted the attention of many researchers and practitioners. In this research, we propose a novel portfolio management strategy based on the framework of Deep Deterministic Policy Gradient, a policy-based reinforcement learning framework, and compare its performance to that of other trading strategies. In our framework, two Long Short-Term Memory neural networks and two fully connected neural networks are constructed. We also investigate the performance of our strategy with and without transaction costs. Experimentally, we choose eight US stocks consisting of four low-volatility stocks and four high-volatility stocks. We compare the compound annual return rate of our strategy against seven other strategies, e.g., Uniform Buy and Hold, Exponential Gradient and Universal Portfolios. In our case, the compound annual return rate is 14.12%, outperforming all other strategies. Furthermore, in terms of Sharpe Ratio (0.5988), our strategy is nearly 33% higher than that of the second-best performing strategy.

Application of Deep Q-Network in Portfolio Management

Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This paper will introduce a strategy based on the classic Deep Reinforcement Learning algorithm, Deep Q-Network, for portfolio management in stock market. It is a type of deep neural network which is optimized by Q Learning. To make the DQN adapt to financial market, we first discretize the action space which is defined as the weight of portfolio in different assets so that portfolio management becomes a problem that Deep Q-Network can solve. Next, we combine the Convolutional Neural Network and dueling Q-net to enhance the recognition ability of the algorithm. Experimentally, we chose five lowrelevant American stocks to test the model. The result demonstrates that the DQN based strategy outperforms the ten other traditional strategies. The profit of DQN algorithm is 30% more than the profit of other strategies. Moreover, the Sharpe ratio associated with Max Drawdown demonstrates that the risk of policy made with DQN is the lowest.