mlsanityData to 7 Oct 2026

Cryptocurrency Portfolio Management with Deep Reinforcement Learning

arXiv 1612.01277 ↗First posted 5 Dec 2016cs.LGcited by 31

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Abstract (arXiv)

Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the best-known example of a cryptocurrency. This paper presents a model-less convolutional neural network with historic prices of a set of financial assets as its input, outputting portfolio weights of the set. The network is trained with 0.7 years' price data from a cryptocurrency exchange. The training is done in a reinforcement manner, maximizing the accumulative return, which is regarded as the reward function of the network. Backtest trading experiments with trading period of 30 minutes is conducted in the same market, achieving 10-fold returns in 1.8 months' periods. Some recently published portfolio selection strategies are also used to perform the same back-tests, whose results are compared with the neural network. The network is not limited to cryptocurrency, but can be applied to any other financial markets.

Key facts. Cited by 31 papers in the map (data through 7 Oct 2026). First posted on arXiv 5 Dec 2016.

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Citing papers per year: 2021: 9; 2022: 7; 2023: 2; 2024: 5; 2025: 5; 2026: 3.

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  1. 2021FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Financecited by 57
  2. 2021Universal Trading for Order Execution with Oracle Policy Distillationcited by 29
  3. 2021Reinforcement Learning for Quantitative Tradingcited by 24
  4. 2021Deep Reinforcement Learning Versus Evolution Strategies: A Comparative Surveycited by 23
  5. 2021Deep Reinforcement Learning for Active High Frequency Tradingcited by 21
  6. 2025Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategycited by 15
  7. 2022A Survey on Large-Population Systems and Scalable Multi-Agent Reinforcement Learningcited by 12
  8. 2022Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfittingcited by 5
  9. 2022The Recurrent Reinforcement Learning Crypto Agentcited by 4
  10. 2022Finite-Time Analysis of Asynchronous Q-learning under Diminishing Step-Size from Control-Theoretic Viewcited by 4
  11. 2024MCI-GRU: Stock Prediction Model Based on Multi-Head Cross-Attention and Improved GRUcited by 4
  12. 2022Asset Allocation: From Markowitz to Deep Reinforcement Learningcited by 3
19 more
  1. 2024Explainable Post hoc Portfolio Management Financial Policy of a Deep Reinforcement Learning agentcited by 3
  2. 2021A Reinforcement Learning Based Encoder-Decoder Framework for Learning Stock Trading Rulescited by 2
  3. 2022Reinforcement Learning Applied to Trading Systems: A Surveycited by 2
  4. 2024CNN-DRL for Scalable Actions in Financecited by 2
  5. 2024Review of deep learning models for crypto price prediction: implementation and evaluationcited by 2
  6. 2026Deep Reinforcement Learning for Optimal Portfolio Allocation: A Comparative Study with Mean-Variance Optimizationcited by 2
  7. 2021Adaptive learning for financial markets mixing model-based and model-free RL for volatility targetingcited by 1
  8. 2021Interpretability in Safety-Critical FinancialTrading Systemscited by 1
  9. 2021Financial Vision Based Differential Privacy Applicationscited by 1
  10. 2022Model-Free Reinforcement Learning for Asset Allocationcited by 1
  11. 2023Cryptocurrency Price Prediction using Twitter Sentiment Analysiscited by 1
  12. 2023An Ensemble Method of Deep Reinforcement Learning for Automated Cryptocurrency Tradingcited by 0
  13. 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learningcited by 0
  14. 2025MIGT: Memory Instance Gated Transformer Framework for Financial Portfolio Managementcited by 0
  15. 2025A Novel Loss Function for Deep Learning Based Daily Stock Trading Systemcited by 0
  16. 2025Deep Reinforcement Learning in Factor Investmentcited by 0
  17. 2025Long-only cryptocurrency portfolio management by ranking the assets: a neural network approachcited by 0
  18. 2026The Enhanced Physics-Informed Kolmogorov-Arnold Networks: Applications of Newton's Laws in Financial Deep Reinforcement Learning (RL) Algorithmscited by 0
  19. 2026Regime-Aware Portfolio Management via Retrieval-Augmented LLM-Guided Expert Switchingcited by 0