Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Detecting and adapting to crisis pattern with context based Deep
  Reinforcement Learning   Deep reinforcement learning (DRL) has reached super human levels in complex
tasks like game solving (Go and autonomous driving). However, it remains an
open question whether DRL can reach human level in applications to financial
problems and in particular in detecting pattern crisis and consequently
dis-investing. In this paper, we present an innovative DRL framework consisting
in two sub-networks fed respectively with portfolio strategies past
performances and standard deviations as well as additional contextual features.
The second sub network plays an important role as it captures dependencies with
common financial indicators features like risk aversion, economic surprise
index and correlations between assets that allows taking into account context
based information. We compare different network architectures either using
layers of convolutions to reduce network's complexity or LSTM block to capture
time dependency and whether previous allocations is important in the modeling.
We also use adversarial training to make the final model more robust. Results
on test set show this approach substantially over-performs traditional
portfolio optimization methods like Markowitz and is able to detect and
anticipate crisis like the current Covid one.

18
The categories of this paper are: econ
28
The categories of this paper are: alg-geom
23
The categories of this paper are: solv-int
25
The categories of this paper are: patt-sol
22
The categories of this paper are: chao-dyn
21
The categories of this paper are: adap-org
4
The categories of this paper are: cond-mat
3
The categories of this paper are: physics
33
The categories of this paper are: plasm-ph
9
The categories of this paper are: nlin
5
The categories of this paper are: gr-qc
13
The categories of this paper are: quant-ph
36
The categories of this paper are: cmp-lg
29
The categories of this paper are: funct-an
30
The categories of this paper are: q-alg
10
The categories of this paper are: q-bio