Bo Wu

Vikram Duvvur, Aashay Mehta, Edward Sun et al.

The use of machine learning in algorithmic trading systems is increasingly common. In a typical set-up, supervised learning is used to predict the future prices of assets, and those predictions drive a simple trading and execution strategy. This is quite effective when the predictions have sufficient signal, markets are liquid, and transaction costs are low. However, those conditions often do not hold in thinly traded financial markets and markets for differentiated assets such as real estate or vehicles. In these markets, the trading strategy must consider the long-term effects of taking positions that are relatively more difficult to change. In this work, we propose a Reinforcement Learning (RL) algorithm that trades based on signals from a learned predictive model and addresses these challenges. We test our algorithm on 20+ years of equity data from Bursa Malaysia.

Bo Wu, Bo Lang

To enhance the ability of neural networks to extract local point cloud features and improve their quality, in this paper, we propose a multiscale graph generation method and a self-adaptive graph convolution method. First, we propose a multiscale graph generation method for point clouds. This approach transforms point clouds into a structured multiscale graph form that supports multiscale analysis of point clouds in the scale space and can obtain the dimensional features of point cloud data at different scales, thus making it easier to obtain the best point cloud features. Because traditional convolutional neural networks are not applicable to graph data with irregular vertex neighborhoods, this paper presents an sef-adaptive graph convolution kernel that uses the Chebyshev polynomial to fit an irregular convolution filter based on the theory of optimal approximation. In this paper, we adopt max pooling to synthesize the features of different scale maps and generate the point cloud features. In experiments conducted on three widely used public datasets, the proposed method significantly outperforms other state-of-the-art models, demonstrating its effectiveness and generalizability.