Cross-insight Trader: A Trading Approach Integrating Policies with Diverse Investment Horizons for Portfolio Management

Deep reinforcement learning (RL) has emerged as a promising approach for portfolio management due to its ability to make sequential decisions. However, applying RL techniques to this domain is still challenging due to the non-stationary nature of financial markets. Existing RL-based solutions fail to consider the intrinsic causes behind this non-stationary, which primarily stem from the involvement of diverse traders with distinct investment horizons and their varied investment strategies. In this paper, we tackle the non-stationary problem by examining its intrinsic causes and propose cross-insight trader, a novel two-step RL-based approach that integrates multiple trading policies with different investment horizons to adapt to the changing market conditions. In the first step, we learn multiple horizon-specific policies by providing each policy with tailored information specific to its investment horizon. This allows each policy to recognize dynamic patterns within its respective horizon and make insightful pre-decisions. In the second step, we learn a cross-insight policy to make the final trade decision by considering the investment pre-decisions made by multiple horizon-specific policies in the first step. To enable effective learning of two types of policies, our approach employs a centralized critic to evaluate the actions performed by both horizon-specific and cross-insight policies. By incorporating multiple insights from different investment horizons into the decision-making process, our approach enhances its adaptability to changing market conditions. Experimental results conducted on three stock markets demonstrate the superiority of our framework.