Revisiting Ensemble Methods for Stock Trading and Crypto Trading Tasks at ACM ICAIF FinRL Contest 2023-2024
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2025
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866915109793693696 |
|---|---|
| author | Holzer, Nikolaus Wang, Keyi Xiao, Kairong Yanglet, Xiao-Yang Liu |
| author_facet | Holzer, Nikolaus Wang, Keyi Xiao, Kairong Yanglet, Xiao-Yang Liu |
| contents | Reinforcement learning has demonstrated great potential for performing financial tasks. However, it faces two major challenges: policy instability and sampling bottlenecks. In this paper, we revisit ensemble methods with massively parallel simulations on graphics processing units (GPUs), significantly enhancing the computational efficiency and robustness of trained models in volatile financial markets. Our approach leverages the parallel processing capability of GPUs to significantly improve the sampling speed for training ensemble models. The ensemble models combine the strengths of component agents to improve the robustness of financial decision-making strategies. We conduct experiments in both stock and cryptocurrency trading tasks to evaluate the effectiveness of our approach. Massively parallel simulation on a single GPU improves the sampling speed by up to $1,746\times$ using $2,048$ parallel environments compared to a single environment. The ensemble models have high cumulative returns and outperform some individual agents, reducing maximum drawdown by up to $4.17\%$ and improving the Sharpe ratio by up to $0.21$.
This paper describes trading tasks at ACM ICAIF FinRL Contests in 2023 and 2024. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_10709 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Revisiting Ensemble Methods for Stock Trading and Crypto Trading Tasks at ACM ICAIF FinRL Contest 2023-2024 Holzer, Nikolaus Wang, Keyi Xiao, Kairong Yanglet, Xiao-Yang Liu Computational Engineering, Finance, and Science Artificial Intelligence Machine Learning Reinforcement learning has demonstrated great potential for performing financial tasks. However, it faces two major challenges: policy instability and sampling bottlenecks. In this paper, we revisit ensemble methods with massively parallel simulations on graphics processing units (GPUs), significantly enhancing the computational efficiency and robustness of trained models in volatile financial markets. Our approach leverages the parallel processing capability of GPUs to significantly improve the sampling speed for training ensemble models. The ensemble models combine the strengths of component agents to improve the robustness of financial decision-making strategies. We conduct experiments in both stock and cryptocurrency trading tasks to evaluate the effectiveness of our approach. Massively parallel simulation on a single GPU improves the sampling speed by up to $1,746\times$ using $2,048$ parallel environments compared to a single environment. The ensemble models have high cumulative returns and outperform some individual agents, reducing maximum drawdown by up to $4.17\%$ and improving the Sharpe ratio by up to $0.21$. This paper describes trading tasks at ACM ICAIF FinRL Contests in 2023 and 2024. |
| title | Revisiting Ensemble Methods for Stock Trading and Crypto Trading Tasks at ACM ICAIF FinRL Contest 2023-2024 |
| topic | Computational Engineering, Finance, and Science Artificial Intelligence Machine Learning |
| url | https://arxiv.org/abs/2501.10709 |