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New Machine Learning methods to implement


New Member
Hi everyone,
New to this forum. Looking forward to hearing everyone's insights
I'm looking into novel methods in portfolio management using Machine Learning for a commodities portfolio as part of a project. I have looked into some of the more classical techniques, but want to explore new methods using latest research. I found some interesting papers which employ deep reinforcement learning, but so far it seems non-applicable in practice due to transaction costs.
Does anyone have any pointers into what I could start to look at?


New Member
Hi @MLQNineteen,

I'm also looking for novel methods in portfolio management. I have found and implemented a few papers regard this. For example, this one, "A Deep Reinforcement Learning Framework for the
Financial Portfolio Management Problem," where is used a convolutional neural network for portfolio management. Actualy I found it in this Coursera's course "Overview of Advanced Methods of Reinforcement Learning in Finance". This paper is focused in Cryptocurrencies. I proved it in two platforms, Catalyst and QuantConnect. But whit not good results. In QuantConnect I think the problem was insufficent training, because when I try to train the model in a big training data set, the loop is longer than 10 minutes, which trigger an error in that platform.

Another aproach for portfolio managment using Machine Learning is this: "Market Self-Learning of Signals, Impact and Optimal Trading:
Invisible Hand Inference with Free Energy", by Igor Halpering, how is the professor for this course of Coursera: "Reinforcement Learning in Finance", where he explaind the method, that in summary use Inverse Reinforcement learning for portfolio management. Maybe in next weeks I'll try to programm it.

But, I would like to get some guide and to hear from others which algoritms have proved to be useful.



I have used long-short term memory (LSTM) for volatility forecasting project before, have you used LSTM before or it's something that you think you can add in your portfolio?