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.
A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem, Zhengyao & al., 2017
Adversarial Deep Reinforcement Learning in Portfolio Management, Zhipeng & al., 2018
pandas
sqlalchemy
xarray
gym
numpy
scipy
python-binance
torch
torchsummary
Copyright 2021 Thomas Hirtz
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