Chenxin Zou

Xiaodong Li, Pangjing Wu, Chenxin Zou et al.

Designing an intelligent volume-weighted average price (VWAP) strategy is a critical concern for brokers, since traditional rule-based strategies are relatively static that cannot achieve a lower transaction cost in a dynamic market. Many studies have tried to minimize the cost via reinforcement learning, but there are bottlenecks in improvement, especially for long-duration strategies such as the VWAP strategy. To address this issue, we propose a deep learning and hierarchical reinforcement learning jointed architecture termed Macro-Meta-Micro Trader (M3T) to capture market patterns and execute orders from different temporal scales. The Macro Trader first allocates a parent order into tranches based on volume profiles as the traditional VWAP strategy does, but a long short-term memory neural network is used to improve the forecasting accuracy. Then the Meta Trader selects a short-term subgoal appropriate to instant liquidity within each tranche to form a mini-tranche. The Micro Trader consequently extracts the instant market state and fulfils the subgoal with the lowest transaction cost. Our experiments over stocks listed on the Shanghai stock exchange demonstrate that our approach outperforms baselines in terms of VWAP slippage, with an average cost saving of 1.16 base points compared to the optimal baseline.

Xiaodong Li, Chenxin Zou, Yi Cai et al.

Knowledge graphs (KGs) have attracted more and more attentions because of their fundamental roles in many tasks. Quality evaluation for KGs is thus crucial and indispensable. Existing methods in this field evaluate KGs by either proposing new quality metrics from different dimensions or measuring performances at KG construction stages. However, there are two major issues with those methods. First, they highly rely on raw data in KGs, which makes KGs' internal information exposed during quality evaluation. Second, they consider more about the quality at data level instead of ability level, where the latter one is more important for downstream applications. To address these issues, we propose a knowledge graph quality evaluation framework under incomplete information (QEII). The quality evaluation task is transformed into an adversarial Q&A game between two KGs. Winner of the game is thus considered to have better qualities. During the evaluation process, no raw data is exposed, which ensures information protection. Experimental results on four pairs of KGs demonstrate that, compared with baselines, the QEII implements a reasonable quality evaluation at ability level under incomplete information.