548@2023@IJCAI

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#1 Spotlight News Driven Quantitative Trading Based on Trajectory Optimization [PDF] [Copy] [Kimi] [REL]

Authors: Mengyuan Yang ; Mengying Zhu ; Qianqiao Liang ; Xiaolin Zheng ; MengHan Wang

News-driven quantitative trading (NQT) has been popularly studied in recent years. Most existing NQT methods are performed in a two-step paradigm, i.e., first analyzing markets by a financial prediction task and then making trading decisions, which is doomed to failure due to the nearly futile financial prediction task. To bypass the financial prediction task, in this paper, we focus on reinforcement learning (RL) based NQT paradigm, which leverages news to make profitable trading decisions directly. In this paper, we propose a novel NQT framework SpotlightTrader based on decision trajectory optimization, which can effectively stitch together a continuous and flexible sequence of trading decisions to maximize profits. In addition, we enhance this framework by constructing a spotlight-driven state trajectory that obeys a stochastic process with irregular abrupt jumps caused by spotlight news. Furthermore, in order to adapt to non-stationary financial markets, we propose an effective training pipeline for this framework, which blends offline pretraining with online finetuning to balance exploration and exploitation effectively during online tradings. Extensive experiments on three real-world datasets demonstrate our proposed model’s superiority over the state-of-the-art NQT methods.