MSPM: A modularized and scalable multi-agent reinforcement learning-based system for financial portfolio management.

Financial portfolio management (PM) is one of the most applicable problems in reinforcement learning (RL) owing to its sequential decision-making nature. However, existing RL-based approaches rarely focus on scalability or reusability to adapt to the ever-changing markets. These approaches are rigid and unscalable to accommodate the varying number of assets of portfolios and increasing need for heterogeneous data input. Also, RL agents in the existing systems are ad-hoc trained and hardly reusable for different portfolios. To confront the above problems, a modular design is desired for the systems to be compatible with reusable asset-dedicated agents. In this paper, we propose a multi-agent RL-based system for PM (MSPM). MSPM involves two types of asynchronously-updated modules: Evolving Agent Module (EAM) and Strategic Agent Module (SAM). An EAM is an information-generating module with a Deep Q-network (DQN) agent, and it receives heterogeneous data and generates signal-comprised information for a particular asset. An SAM is a decision-making module with a Proximal Policy Optimization (PPO) agent for portfolio optimization, and it connects to multiple EAMs to reallocate the corresponding assets in a financial portfolio. Once been trained, EAMs can be connected to any SAM at will, like assembling LEGO blocks. With its modularized architecture, the multi-step condensation of volatile market information, and the reusable design of EAM, MSPM simultaneously addresses the two challenges in RL-based PM: scalability and reusability. Experiments on 8-year U.S. stock market data prove the effectiveness of MSPM in profit accumulation by its outperformance over five different baselines in terms of accumulated rate of return (ARR), daily rate of return (DRR), and Sortino ratio (SR). MSPM improves ARR by at least 186.5% compared to constant rebalanced portfolio (CRP), a widely-used PM strategy. To validate the indispensability of EAM, we back-test and compare MSPMs on four different portfolios. EAM-enabled MSPMs improve ARR by at least 1341.8% compared to EAM-disabled MSPMs.

Diversity-driven knowledge distillation for financial trading using Deep Reinforcement Learning.

Deep Reinforcement Learning (RL) is increasingly used for developing financial trading agents for a wide range of tasks. However, optimizing deep RL agents is notoriously difficult and unstable, especially in noisy financial environments, significantly hindering the performance of trading agents. In this work, we present a novel method that improves the training reliability of DRL trading agents building upon the well-known approach of neural network distillation. In the proposed approach, teacher agents are trained in different subsets of RL environment, thus diversifying the policies they learn. Then student agents are trained using distillation from the trained teachers to guide the training process, allowing for better exploring the solution space, while "mimicking" an existing policy/trading strategy provided by the teacher model. The boost in effectiveness of the proposed method comes from the use of diversified ensembles of teachers trained to perform trading for different currencies. This enables us to transfer the common view regarding the most profitable policy to the student, further improving the training stability in noisy financial environments. In the conducted experiments we find that when applying distillation, constraining the teacher models to be diversified can significantly improve their performance of the final student agents. We demonstrate this by providing an extensive evaluation on various financial trading tasks. Furthermore, we also provide additional experiments in the separate domain of control in games using the Procgen environments in order to demonstrate the generality of the proposed method.

Efficient Deep Network Architectures for Fast Chest X-Ray Tuberculosis Screening and Visualization.

Automated diagnosis of tuberculosis (TB) from chest X-Rays (CXR) has been tackled with either hand-crafted algorithms or machine learning approaches such as support vector machines (SVMs) and convolutional neural networks (CNNs). Most deep neural network applied to the task of tuberculosis diagnosis have been adapted from natural image classification. These models have a large number of parameters as well as high hardware requirements, which makes them prone to overfitting and harder to deploy in mobile settings. We propose a simple convolutional neural network optimized for the problem which is faster and more efficient than previous models but preserves their accuracy. Moreover, the visualization capabilities of CNNs have not been fully investigated. We test saliency maps and grad-CAMs as tuberculosis visualization methods, and discuss them from a radiological perspective.

Deep learning based low-cost high-accuracy diagnostic framework for dementia using comprehensive neuropsychological assessment profiles.

BACKGROUND: The conventional scores of the neuropsychological batteries are not fully optimized for diagnosing dementia despite their variety and abundance of information. To achieve low-cost high-accuracy diagnose performance for dementia using a neuropsychological battery, a novel framework is proposed using the response profiles of 2666 cognitively normal elderly individuals and 435 dementia patients who have participated in the Korean Longitudinal Study on Cognitive Aging and Dementia (KLOSCAD). METHODS: The key idea of the proposed framework is to propose a cost-effective and precise two-stage classification procedure that employed Mini Mental Status Examination (MMSE) as a screening test and the KLOSCAD Neuropsychological Assessment Battery as a diagnostic test using deep learning. In addition, an evaluation procedure of redundant variables is introduced to prevent performance degradation. A missing data imputation method is also presented to increase the robustness by recovering information loss. The proposed deep neural networks (DNNs) architecture for the classification is validated through rigorous evaluation in comparison with various classifiers. RESULTS: The k-nearest-neighbor imputation has been induced according to the proposed framework, and the proposed DNNs for two stage classification show the best accuracy compared to the other classifiers. Also, 49 redundant variables were removed, which improved diagnostic performance and suggested the potential of simplifying the assessment. Using this two-stage framework, we could get 8.06% higher diagnostic accuracy of dementia than MMSE alone and 64.13% less cost than KLOSCAD-N alone. CONCLUSION: The proposed framework could be applied to general dementia early detection programs to improve robustness, preciseness, and cost-effectiveness.