Pervasive Artificial Intelligence Research (PAIR) Labs
NCTU – Professor Szu-Hao Huang
Research：
Artificial Intelligence in Asset Allocation, Derivatives Pricing and Risk Management
(PI: Min-Teh Yu / Co-PI: Szu-Hao Huang)
Core Technologies
We apply deep reinforcement learning on portfolio management to model profits and risk with realistic transaction cost model. Using the financial domain-knowledge that our team has, we present special price representation method in order to extract financial market trend more effectively. Aside from the specialized data representation method, we also construct novel model structure that based on multi-agent reinforcement learning framework and combine risk-oriented reward function as the optimization criterion of agent. Our purpose is to learn an agent with risk-shifting behaviors as the building block of novel portfolio management system. In addition, we develop several key technology in FinTech field including graph embedding-based recommendation system, blockchain application platform, information security and biometric based on adversarial attack.
