Global Cross-Market Trading Optimization Using Iterative Combined Algorithm: A Multi-Asset Approach with Stocks and Cryptocurrencies

This study presents an advanced adaptive trading framework that integrates Deep Reinforcement Learning (DRL) with the Iterative Model Combining Algorithm (IMCA) to overcome the critical limitations of static ensemble methods in global portfolio optimization. Using a diverse cross-market dataset of 39 stocks from the US, Australia, Europe, Thailand, and one cryptocurrency (BTC-USD), the research rigorously evaluates models’ adaptability under volatile market conditions. Volatile market conditions—such as COVID-19, SVB crisis, and the 2022 crypto crash—are captured via volatility metrics (e.g., drawdown), with DRL models like PPO/TD3 adapting through dynamic reward signals. This cross-asset integration is particularly critical, as it captures the complex dynamics and correlations between traditional financial markets and emerging digital assets. Although DRL models like PPO and TD3 outperform traditional strategies, they remain vulnerable to market drawdowns and high volatility. IMCA significantly surpasses these models, achieving the highest cumulative return of 29.52% and a superior Sharpe ratio of 0.829 by dynamically recalibrating model weights in response to real-time market dynamics. This study addresses a substantial research gap, highlighting the failure of traditional ensemble models—reliant on static weightings—to adapt to evolving financial conditions, resulting in suboptimal risk-adjusted returns. IMCA offers a dynamic, data-driven approach that continuously optimizes portfolio strategies across fluctuating market regimes, demonstrating its scalability and robustness across diverse asset classes and regional markets, and providing an empirical framework for adaptive portfolio management. Policy recommendations underscore the need for financial institutions to adopt AI-driven adaptive models like IMCA to enhance portfolio resilience, profitability, and responsiveness in uncertain markets.

Authors

Institutions

Publication Details

Journal
Mathematics
Published
2025-04-17
DOI
https://doi.org/10.3390/math13081317
Citations
3
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
6.62

Funders

Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Global Cross-Market Trading Optimization Using Iterative Combined Algorithm: A Multi-Asset Approach with Stocks and Cryptocurrencies

Sukrit Thongkairat, Worrawat Saijai, Kansuda Pankwaen
3 citations
Mathematics
Financial Markets and Investment Strategies
6.62
article

Global Cross-Market Trading Optimization Using Iterative Combined Algorithm: A Multi-Asset Approach with Stocks and Cryptocurrencies

Sukrit Thongkairat, Worrawat Saijai, Kansuda Pankwaen
article en
3 citations

Abstract

This study presents an advanced adaptive trading framework that integrates Deep Reinforcement Learning (DRL) with the Iterative Model Combining Algorithm (IMCA) to overcome the critical limitations of static ensemble methods in global portfolio optimization. Using a diverse cross-market dataset of 39 stocks from the US, Australia, Europe, Thailand, and one cryptocurrency (BTC-USD), the research rigorously evaluates models’ adaptability under volatile market conditions. Volatile market conditions—such as COVID-19, SVB crisis, and the 2022 crypto crash—are captured via volatility metrics (e.g., drawdown), with DRL models like PPO/TD3 adapting through dynamic reward signals. This cross-asset integration is particularly critical, as it captures the complex dynamics and correlations between traditional financial markets and emerging digital assets. Although DRL models like PPO and TD3 outperform traditional strategies, they remain vulnerable to market drawdowns and high volatility. IMCA significantly surpasses these models, achieving the highest cumulative return of 29.52% and a superior Sharpe ratio of 0.829 by dynamically recalibrating model weights in response to real-time market dynamics. This study addresses a substantial research gap, highlighting the failure of traditional ensemble models—reliant on static weightings—to adapt to evolving financial conditions, resulting in suboptimal risk-adjusted returns. IMCA offers a dynamic, data-driven approach that continuously optimizes portfolio strategies across fluctuating market regimes, demonstrating its scalability and robustness across diverse asset classes and regional markets, and providing an empirical framework for adaptive portfolio management. Policy recommendations underscore the need for financial institutions to adopt AI-driven adaptive models like IMCA to enhance portfolio resilience, profitability, and responsiveness in uncertain markets.

MathematicsVol. 13(8)
Chiang Mai University (TH)
Chiang Mai University
Openalex Percentile: Top 4%
Financial Markets and Investment Strategies
6.62
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.