A deep Q-learning portfolio management framework for the cryptocurrency market

Abstract

Deep reinforcement learning is gaining popularity in many different fields. An interesting sector is related to the definition of dynamic decision-making systems. A possible example is dynamic portfolio optimization, where an agent has to continuously reallocate an amount of fund into a number of different financial assets with the final goal of maximizing return and minimizing risk. In this work, a novel deep Q-learning portfolio management framework is proposed. The framework is composed by two elements: a set of local agents that learn assets behaviours and a global agent that describes the global reward function. The framework is tested on a crypto portfolio composed by four cryptocurrencies. Based on our results, the deep reinforcement portfolio management framework has proven to be a promising approach for dynamic portfolio optimization.