Search Results for author: Mingwen Liu

Found 5 papers, 1 papers with code

Distributionally Robust Offline Reinforcement Learning with Linear Function Approximation

no code implementations14 Sep 2022 Xiaoteng Ma, Zhipeng Liang, Jose Blanchet, Mingwen Liu, Li Xia, Jiheng Zhang, Qianchuan Zhao, Zhengyuan Zhou

Among the reasons hindering reinforcement learning (RL) applications to real-world problems, two factors are critical: limited data and the mismatch between the testing environment (real environment in which the policy is deployed) and the training environment (e. g., a simulator).

Offline RL reinforcement-learning +1

Stock Market Trend Analysis Using Hidden Markov Model and Long Short Term Memory

1 code implementation20 Apr 2021 Mingwen Liu, Junbang Huo, Yulin Wu, Jinge Wu

This paper intends to apply the Hidden Markov Model into stock market and and make predictions.

A Machine Learning Framework for Stock Selection

no code implementations5 Jun 2018 XingYu Fu, JinHong Du, Yifeng Guo, Mingwen Liu, Tao Dong, XiuWen Duan

The effectiveness of the stock selection strategy is validated in Chinese stock market in both statistical and practical aspects, showing that: 1) Stacking outperforms other models reaching an AUC score of 0. 972; 2) Genetic Algorithm picks a subset of 114 features and the prediction performances of all models remain almost unchanged after the selection procedure, which suggests some features are indeed redundant; 3) LR and DNN are radical models; RF is risk-neutral model; Stacking is somewhere between DNN and RF.

BIG-bench Machine Learning feature selection

Robust Log-Optimal Strategy with Reinforcement Learning

no code implementations1 May 2018 Yifeng Guo, Xingyu Fu, Yuyan Shi, Mingwen Liu

We proposed a new Portfolio Management method termed as Robust Log-Optimal Strategy (RLOS), which ameliorates the General Log-Optimal Strategy (GLOS) by approximating the traditional objective function with quadratic Taylor expansion.

Management reinforcement-learning +1

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