3 papers
cs.LG2020
DoubleEnsemble: A New Ensemble Method Based on Sample Reweighting and Feature Selection for Financial Data Analysis
Chuheng Zhang, Yuanqi Li, Xi Chen +3
Modern machine learning models (such as deep neural networks and boosting decision tree models) have become increasingly popular in financial market prediction, due to their superi…
q-fin.CP2020
AutoAlpha: an Efficient Hierarchical Evolutionary Algorithm for Mining Alpha Factors in Quantitative Investment
Tianping Zhang, Yuanqi Li, Yifei Jin +1
The multi-factor model is a widely used model in quantitative investment. The success of a multi-factor model is largely determined by the effectiveness of the alpha factors used i…
cs.LG2019
Policy Search by Target Distribution Learning for Continuous Control
Chuheng Zhang, Yuanqi Li, Jian Li
We observe that several existing policy gradient methods (such as vanilla policy gradient, PPO, A2C) may suffer from overly large gradients when the current policy is close to dete…