Kassiani Papasotiriou

Srijan Sood, Kassiani Papasotiriou, Marius Vaiciulis et al.

Portfolio Management is the process of overseeing a group of investments, referred to as a portfolio, with the objective of achieving predetermined investment goals. Portfolio optimization is a key component that involves allocating the portfolio assets so as to maximize returns while minimizing risk taken. It is typically carried out by financial professionals who use a combination of quantitative techniques and investment expertise to make decisions about the portfolio allocation. Recent applications of Deep Reinforcement Learning (DRL) have shown promising results when used to optimize portfolio allocation by training model-free agents on historical market data. Many of these methods compare their results against basic benchmarks or other state-of-the-art DRL agents but often fail to compare their performance against traditional methods used by financial professionals in practical settings. One of the most commonly used methods for this task is Mean-Variance Portfolio Optimization (MVO), which uses historical time series information to estimate expected asset returns and covariances, which are then used to optimize for an investment objective. Our work is a thorough comparison between model-free DRL and MVO for optimal portfolio allocation. We detail the specifics of how to make DRL for portfolio optimization work in practice, also noting the adjustments needed for MVO. Backtest results demonstrate strong performance of the DRL agent across many metrics, including Sharpe ratio, maximum drawdowns, and absolute returns.

Kassiani Papasotiriou, Srijan Sood, Shayleen Reynolds et al.

Investment Analysis is a cornerstone of the Financial Services industry. The rapid integration of advanced machine learning techniques, particularly Large Language Models (LLMs), offers opportunities to enhance the equity rating process. This paper explores the application of LLMs to generate multi-horizon stock ratings by ingesting diverse datasets. Traditional stock rating methods rely heavily on the expertise of financial analysts, and face several challenges such as data overload, inconsistencies in filings, and delayed reactions to market events. Our study addresses these issues by leveraging LLMs to improve the accuracy and consistency of stock ratings. Additionally, we assess the efficacy of using different data modalities with LLMs for the financial domain. We utilize varied datasets comprising fundamental financial, market, and news data from January 2022 to June 2024, along with GPT-4-32k (v0613) (with a training cutoff in Sep. 2021 to prevent information leakage). Our results show that our benchmark method outperforms traditional stock rating methods when assessed by forward returns, specially when incorporating financial fundamentals. While integrating news data improves short-term performance, substituting detailed news summaries with sentiment scores reduces token use without loss of performance. In many cases, omitting news data entirely enhances performance by reducing bias. Our research shows that LLMs can be leveraged to effectively utilize large amounts of multimodal financial data, as showcased by their effectiveness at the stock rating prediction task. Our work provides a reproducible and efficient framework for generating accurate stock ratings, serving as a cost-effective alternative to traditional methods. Future work will extend to longer timeframes, incorporate diverse data, and utilize newer models for enhanced insights.

Udari Madhushani Sehwag, Kassiani Papasotiriou, Jared Vann et al.

Knowledge graphs (KGs) are crucial for representing and reasoning over structured information, supporting a wide range of applications such as information retrieval, question answering, and decision-making. However, their effectiveness is often hindered by incompleteness, limiting their potential for real-world impact. While knowledge graph completion (KGC) has been extensively studied in the literature, recent advances in generative AI models, particularly large language models (LLMs), have introduced new opportunities for innovation. In-context learning has recently emerged as a promising approach for leveraging pretrained knowledge of LLMs across a range of natural language processing tasks and has been widely adopted in both academia and industry. However, how to utilize in-context learning for effective KGC remains relatively underexplored. We develop a novel method that incorporates topological information through in-context learning to enhance KGC performance. By integrating ontological knowledge and graph structure into the context of LLMs, our approach achieves strong performance in the transductive setting i.e., nodes in the test graph dataset are present in the training graph dataset. Furthermore, we apply our approach to KGC in the more challenging inductive setting, i.e., nodes in the training graph dataset and test graph dataset are disjoint, leveraging the ontology to infer useful information about missing nodes which serve as contextual cues for the LLM during inference. Our method demonstrates superior performance compared to baselines on the ILPC-small and ILPC-large datasets.