Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach

• URL: http://arxiv.org/abs/2207.07578v1
• Date: Tue, 7 Jun 2022 08:58:00 GMT
• Title: Quantitative Stock Investment by Routing Uncertainty-Aware Trading Experts: A Multi-Task Learning Approach
• Authors: Shuo Sun, Rundong Wang, Bo An
• Abstract summary: We show that existing deep learning methods are sensitive to random seeds and network routers. We propose a novel two-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up trading strategy design workflow of successful trading firms. AlphaMix significantly outperforms many state-of-the-art baselines in terms of four financial criteria.
• Score: 29.706515133374193
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Quantitative investment is a fundamental financial task that highly relies on accurate stock prediction and profitable investment decision making. Despite recent advances in deep learning (DL) have shown stellar performance on capturing trading opportunities in the stochastic stock market, we observe that the performance of existing DL methods is sensitive to random seeds and network initialization. To design more profitable DL methods, we analyze this phenomenon and find two major limitations of existing works. First, there is a noticeable gap between accurate financial predictions and profitable investment strategies. Second, investment decisions are made based on only one individual predictor without consideration of model uncertainty, which is inconsistent with the workflow in real-world trading firms. To tackle these two limitations, we first reformulate quantitative investment as a multi-task learning problem. Later on, we propose AlphaMix, a novel two-stage mixture-of-experts (MoE) framework for quantitative investment to mimic the efficient bottom-up trading strategy design workflow of successful trading firms. In Stage one, multiple independent trading experts are jointly optimized with an individual uncertainty-aware loss function. In Stage two, we train neural routers (corresponding to the role of a portfolio manager) to dynamically deploy these experts on an as-needed basis. AlphaMix is also a universal framework that is applicable to various backbone network architectures with consistent performance gains. Through extensive experiments on long-term real-world data spanning over five years on two of the most influential financial markets (US and China), we demonstrate that AlphaMix significantly outperforms many state-of-the-art baselines in terms of four financial criteria.

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