Revolutionising Financial Portfolio Management: The Non-Stationary Transformer’s Fusion of Macroeconomic Indicators and Sentiment Analysis in a Deep Reinforcement Learning Framework
Source abstract
Abstract
In the evolving landscape of portfolio management (PM), the fusion of advanced machine learning techniques with traditional financial methodologies has opened new avenues for innovation. Our study introduces a cutting-edge model combining deep reinforcement learning (DRL) with a non-stationary transformer architecture. This model is designed to decode complex patterns in financial time-series data, enhancing portfolio management strategies with deeper insights and robustness. It effectively tackles the challenges of data heterogeneity and market uncertainty, key obstacles in PM. Our approach integrates key macroeconomic indicators and targeted news sentiment analysis into its framework, capturing a comprehensive picture of market dynamics. This amalgamation of varied data types addresses the multifaceted nature of financial markets, enhancing the model’s ability to navigate the complexities of asset management. Rigorous testing demonstrates the model’s efficacy, highlighting the benefits of blending diverse data sources and sophisticated algorithmic approaches in mastering the nuances of PM.
Source: crossref · Quality: baseline
Research context
OpenAlex topics: Stock Market Forecasting Methods · Financial Markets and Investment Strategies · Energy Load and Power Forecasting
SciVX discovery tags are terminology-based. OpenAlex topics are source-provided classifications.
Affiliations
Department of Computing, Xi’an Jiaotong-Liverpool University, Suzhou 215123, China
Department of Computer Science, University of Liverpool, Liverpool L69 3BX, UK
School of AI and Advanced Computing, Xi’an Jiaotong-Liverpool University, Suzhou 215123, China
Faculty of Creative Arts, Technologies and Science, University of Bedfordshire, Luton LU1 3JU, UK
Department of Computer Science & Engineering, University of Alaska Anchorage, Anchorage, AK 99508, USA
Funding
XJTLU AI University Research Centre · Jiangsu Province Engineering Research Centre of Data Science · Cognitive Computation at XJTLU · Suzhou Municipal Key Laboratory for Intelligent Virtual Engineering · XJTLU-REF-21-01-002 · XJTLU Key Program Special Fund
References (41)
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