Reimplementation of RAT

Levon 2022.04.29

reimplementation of Relation-Aware Transformer for Portfolio Policy Learning (RAT) (IJCAI 2020) for the portfolio management task.

[Official paper], [Official code], [Another unofficial code]

This reimplementation project has been linked to the corresponding paperwithcode page.

Dependencies

• Pytorch 1.10.0
• pandas 1.4.2
• python 3.9
• numpy 1.20.3

Bugs to fix

• pandas.panel() 被官方舍弃，我重新通过 multi_index 实现高维表格
• 官方仓库提供的 1.pkl 预训练模型如何导入，torch.load() 报错
• ubuntu 报错：history_manager.py, line 192, in update_data, raise Exception("Have to be online")

Citation

@inproceedings{xu-relation,
  title = {Relation-Aware Transformer for Portfolio Policy Learning},
  author = {Xu, Ke and Zhang, Yifan and Ye, Deheng and Zhao, Peilin and Tan, Mingkui},
  booktitle = {Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence}, 
  pages = {4647--4653},
  year = {2020},
  month = {7},
  note = {Special Track on AI in FinTech}
}