Margin Trader (ICAIF 2023)

Implementation of Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints.

Dependency

• FinRL
• Python 3.10
• torch

Training

python trading_margin_a2c.py

The dataset will be automatically downloaded on the first run.

Citation

If you use this code for your research, please kindly cite our paper:

@inproceedings{gu2023margin,
  title={Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints},
  author={Gu, Jingyi and Du, Wenlu and Rahman, AM Muntasir and Wang, Guiling},
  booktitle={Proceedings of the Fourth ACM International Conference on AI in Finance},
  pages={610--618},
  year={2023}
}