Portfolio Learning Based on Deep Learning

Wei Pan, Jide Li and Xiaoqiang Li
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Wei Pan: School of Computer Engineering and Science, Shanghai University, Shanghai 200444, China
Jide Li: School of Computer Engineering and Science, Shanghai University, Shanghai 200444, China
Xiaoqiang Li: School of Computer Engineering and Science, Shanghai University, Shanghai 200444, China

Future Internet, 2020, vol. 12, issue 11, 1-13

Abstract: Traditional portfolio theory divides stocks into different categories using indicators such as industry, market value, and liquidity, and then selects representative stocks according to them. In this paper, we propose a novel portfolio learning approach based on deep learning and apply it to China’s stock market. Specifically, this method is based on the similarity of deep features extracted from candlestick charts. First, we obtained whole stock information from Tushare, a professional financial data interface. These raw time series data are then plotted into candlestick charts to make an image dataset for studying the stock market. Next, the method extracts high-dimensional features from candlestick charts through an autoencoder. After that, K-means is used to cluster these high-dimensional features. Finally, we choose one stock from each category according to the Sharpe ratio and a low-risk, high-return portfolio is obtained. Extensive experiments are conducted on stocks in the Chinese stock market for evaluation. The results demonstrate that the proposed portfolio outperforms the market’s leading funds and the Shanghai Stock Exchange Composite Index (SSE Index) in a number of metrics.

Keywords: quantitative trading; portfolio; autoencoder; convolutional natural network (CNN); clustering (search for similar items in EconPapers)
JEL-codes: O3 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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