Project 1

Name: AI-Driven Portfolio Optimization & Risk Management Platform

One-sentence description
A real-time, reinforcement-learning–powered system that ingests market
ticks to construct, rebalance, and hedge portfolios with explainable risk
metrics—all on a fully open-source stack.

Use case & target user

Quant traders and asset managers at fintech startups seeking dynamic,
data-driven portfolio strategies and live risk monitoring without vendor lock-
in.

Tech stack
• Data ingestion & streaming: Apache Kafka, Apache Spark Structured
Streaming
• Historical time-series store: TimescaleDB (PostgreSQL extension)
• Feature store: Feast (using Redis backend)
• RL modeling & backtest: Python, PyTorch, Stable Baselines3 (PPO/DDPG),
Zipline backtester
• Hyperparameter sweeps & tracking: Optuna + MLflow Tracking +
TensorBoard
• Containerization & orchestration: Docker, upstream Kubernetes (k8s), Helm
• Real-time inference: KServe on k8s
• Object storage: MinIO (S3-compatible)
• Infrastructure as code: Terraform (open source)
• Monitoring & dashboards: Prometheus, Grafana, Streamlit with SHAP plots

Advanced features
• Fully automated RL training pipeline with Optuna hyperparameter tuning
• Sub-second inference API for rebalancing signals via KServe
• Walk-forward backtester with live paper-trading feed
• Explainable-AI dashboard (SHAP) for portfolio driver attribution and VaR
• Self-healing k8s streaming pipelines with Kafka Connect dead-letter queues
• Cost-aware autoscaling using Kubernetes HPA + spot-instance scheduling

Resume-pitch bullet
“Built a 100% open-source RL portfolio optimizer with PyTorch, Kafka
streaming, TimescaleDB & KServe—automating rebalancing, backtests, and
SHAP-driven risk explainability, achieving a simulated 12% Sharpe uplift.”
Below is a deep‐dive into your “AI-Driven Portfolio Optimization & Risk
Management Platform,” covering both the high-level concept and the nuts-
and-bolts implementation. Think of it in three layers—Concept & Use Case,
System Architecture & Data Flow, and Core Technologies & Engineering Best
Practices—each illustrating how you’re blending AI research, quantitative
finance, and production-grade software engineering.

1. Concept & Use Case

• Goal: Build a fully open-source, end-to-end system that ingests live
market data, learns dynamic trading strategies via reinforcement
learning, executes (or simulates) trades, and provides transparent risk
metrics.
• Users: Quantitative traders, algo hedge funds, fintech startups—
anyone who needs automated, adaptive portfolio construction without
black-box vendor dependencies.
• Value Proposition:
– Real-time responsiveness (sub-second rebalance signals)
– Continuous learning (online RL updates + walk-forward backtests)
– Explainability (SHAP-driven attribution, VaR decomposition)
– Resilience & cost efficiency (self-healing pipelines, spot nodes,
autoscaling)

2. System Architecture & Data Flow

A. Market Tick Ingestion
– Apache Kafka collects tick-level feeds from exchanges or data
vendors.
– Kafka Connect plugs feed adapters into a streaming pipeline; mis-
formatted messages route to a Dead-Letter Queue for later inspection.
– Spark Structured Streaming consumes topics, does windowed
aggregations (VWAP, realized vol) and writes enriched time-series to
TimescaleDB.

B. Feature Store & Historical Backtesting

– Feast serves both online and offline feature requests. Redis backend
enables sub-millisecond lookups for live inference.
– For backtesting, Zipline pulls the same enriched features from TimescaleDB
to replay historical episodes. A custom walk-forward harness splits data into
rolling train/test blocks.

C. Reinforcement-Learning Pipeline
– Algorithms: PPO and DDPG implementations in Stable Baselines3.
– Training orchestration:
• Optuna handles hyperparameter sweeps (learning rate, clip range, network
size).
• MLflow (plus TensorBoard) logs experiments—metrics, parameters, model
checkpoints.
– Automated triggers: New data landed in TimescaleDB can spin up training
jobs via Argo/Kubernetes CronJobs or event-based functions.

D. Model Serving & Inference

– KServe on Kubernetes exposes a REST/gRPC endpoint.
– When a tick arrives, the Streamlit (or custom) client queries KServe for
action probabilities or portfolio weights.
– The decision engine writes desired trades back into a Kafka “orders” topic
for execution or paper-trading.

E. Risk Management & Explainability

– SHAP: after each inference, compute SHAP values on the feature vector to
attribute which factors drove the portfolio shift.
– VaR and CVaR: leverage library implementations (e.g., riskfolio-lib) on the
live PnL return series stored in TimescaleDB.
– Grafana dashboards display exposures, risk decomposition, P&L heatmaps;
Streamlit serves interactive SHAP plots for deep dives.

F. Infrastructure, Deployment & Operations

– Everything dockerized; Helm charts manage the Kubernetes deployments.
– Terraform defines cloud resources (k8s clusters, MinIO buckets, managed
Prometheus).
– Autoscaling: Kubernetes HPA on CPU/memory plus custom metrics (Kafka
lag, model-latency SLO) trigger scale-ups. Spot-instance groups save costs.
– Monitoring & Alerting:
• Prometheus scrapes custom application metrics (latencies, RL reward
curves, backtest errors).
• Alertmanager fires Slack/email alerts on anomalies—e.g., backtest failure,
inference latency breach, Kafka consumer lag.

3. Core Technologies & Engineering Practices

A. Reinforcement Learning Research
– Formulation: State = feature vector (price history, vol, macro-
indicators); Action = portfolio weight vector; Reward = risk-adjusted
PnL (e.g., Sharpe, Sortino).
– Exploration vs. Exploitation: Tweak PPO’s clip range and entropy
bonus; DDPG’s OU-noise in continuous action spaces.
– Walk-forward validation ensures temporal leakage is prevented.
B. Quantitative Finance Foundations
– Portfolio Theory: Understand mean-variance, risk metrics (VaR/CVaR),
portfolio constraints (no-short, weight bounds).
– Transaction Costs & Slippage: Model realistic execution costs in the
backtester.
– Stress Testing: Simulate tail events (e.g., 1987 crash, 2020 drawdown) and
validate RL policy robustness.

C. Production-Grade Software Engineering

– Modular codebase: Separate packages for data ingestion, feature
engineering, model training, serving, and monitoring.
– Continuous Integration/Deployment:
• GitHub Actions pipelines lint, test (unit + integration), and build Docker
images.
• Canary deployments in Kubernetes for new model versions.
– Observability: Structured logs (JSON), distributed tracing (OpenTelemetry),
and real-time dashboards.
– Infrastructure as Code: Immutable clusters; versioned Terraform modules.

4. How This Project Showcases Your Skills

• AI-Engineering: You’ve end-to-end–built and tuned RL agents, used
SHAP for interpretability, and orchestrated ML workflows with
Optuna/MLflow.
• Quant Finance: You demonstrate mastery of time-series data,
portfolio optimization theory, realistic backtesting, and risk metrics.
• Software Engineering: You’ve deployed a microservices architecture
on Kubernetes, written resilient streaming apps, and implemented
CI/CD plus robust monitoring.

5. Next Steps & Extensions

– Live Trading Hook-up: Integrate with a broker API for autopilot
execution under strict risk controls.
– Multi-Asset & Derivatives: Expand state space and actions to handle
options, futures, FX.
– Alternative Data: Plug in sentiment signals, satellite imagery, credit-
card data via additional Kafka topics.
– Collaborative Platform: Add role-based access, audit logs, and policy-
driven governance for enterprise adoption.

With this platform, you not only illustrate advanced AI/ML research in
reinforcement learning, but also deep quantitative finance expertise and
production-grade software engineering—all key pillars for an AI Engineer
eyeing quant finance or fintech roles.