COGSPMS

An Intelligent System for Automated Portfolio Management using Graph Neural Networks and Semantic Bayesian Networks

Project Information

Team

Member	Student Number
Insaaf Dhansay	DHNINS001
Kialan Pillay	PLLKIA010

Supervisor

Staff Member	Department
A/Prof Deshendran Moodley	Computer Science

Installation

python3 -m venv venv
source ./venv/bin/activate
pip3 install -Ur requirements.txt

Web Console

python3 wsgi.py
cd web && npm install && npm start

Experiments

Graph Neural Networks

Single-Step Forecasting w/ Baseline

python3 gnn_main.py --model GWN --window_size 30 --horizon 1 --baseline True
python3 gnn_main.py --model GWN --window_size 60 --horizon 1 --baseline True
python3 gnn_main.py --model GWN --window_size 120 --horizon 1 --baseline True

Multi-Step Forecasting w/ Baseline

python3 gnn_main.py --model StemGNN --window_size 20 --horizon 20 --baseline True
python3 gnn_main.py --model GWN --window_size 20 --horizon 20 --baseline True
python3 gnn_main.py --model MTGNN --window_size 20 --horizon 20 --baseline True

Multi-Step Forecasting w/ Correlation Matrix

python3 gnn_main.py --model GWN --window_size 20 --horizon 10 --adj_data True --apt_only False --random_adj False
python3 gnn_main.py --model MTGNN --window_size 20 --horizon 10 --adj_data True --build_adj False

Inference

python3 gnn_main.py --model GWN --window_size 20 --horizon 10 --baseline True --train False

Network Analysis

python3 gnn/analysis/main.py --network True --n 5 --hierarchical False --plot True

Semantic Bayesian Networks

INVEST Base

python3 app.py --beta 0.2
python3 app.py --beta 0.6
python3 app.py --beta 1

INVEST Ablation Study

python3 app.py --beta 0.2 --ablation True --network v
python3 app.py --beta 0.2 --ablation True --network q

INVEST w/ Noise

python3 app.py --beta 0.2 --noise True

INVEST w/ Systematic Risk Extension

python3 app.py --beta 0.2 --extension True
python3 app.py --beta 1 --extension True

INVEST + GNN

python3 gnn_main.py --model GWN --window_size 40 --horizon 10
python3 app.py --beta 0.2 --gnn True

INVEST + GNN w/ Holding Periods

python3 gnn_main.py --model GWN --window_size 40 --horizon 10
python3 app.py --beta 0.2 --gnn True --holding_period 1 --horizon 10