portfolio-management

Framework to train agents on a dynamic portfolio management
and allocation environment.
The repository contains three main modules.

• Data management module, used to create MySQL databases using SQLAlchemy and binance-API
• Environment module, that created cryptocurrency market situations using the created databases.
• The Agent module, which try to learn policies on the created environment.

The Soft Actor-Critic is a custom agent made to be able to receive several streams
of data coming from the different cryptocurrencies. It uses an Ensemble of Identical
Independent Evaluators (EIIE) strategy in order to efficiently learning from the market.

Sources

A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem, Zhengyao & al., 2017
Adversarial Deep Reinforcement Learning in Portfolio Management, Zhipeng & al., 2018

Requirements

pandas
sqlalchemy
xarray
gym
numpy
scipy
python-binance
torch
torchsummary

License

 Copyright 2021 Thomas Hirtz

 Licensed under the Apache License, Version 2.0 (the "License");
 you may not use this file except in compliance with the License.
 You may obtain a copy of the License at

     http://www.apache.org/licenses/LICENSE-2.0

 Unless required by applicable law or agreed to in writing, software
 distributed under the License is distributed on an "AS IS" BASIS,
 WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 See the License for the specific language governing permissions and
 limitations under the License.