Related papers: Capturing Financial markets to apply Deep Reinforc…

In this paper, we study the problem of transferring the available Markov Decision Process (MDP) models to learn and plan efficiently in an unknown but similar MDP. We refer to it as \textit{Model Transfer Reinforcement Learning (MTRL)}…

We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy…

In supervised learning, we fit a single statistical model to a given data set, assuming that the data is associated with a singular task, which yields well-tuned models for specific use, but does not adapt well to new contexts. By contrast,…

Reinforcement learning (RL) techniques have shown great success in many challenging quantitative trading tasks, such as portfolio management and algorithmic trading. Especially, intraday trading is one of the most profitable and risky tasks…

We introduce a model-free algorithm for learning in Markov decision processes with parameterized actions-discrete actions with continuous parameters. At each step the agent must select both which action to use and which parameters to use…

Deep reinforcement learning (DRL) is a well-suited approach to financial decision-making, where an agent makes decisions based on its trading strategy developed from market observations. Existing DRL intraday trading strategies mainly use…

Deep reinforcement learning (RL) has made it possible to solve complex robotics problems using neural networks as function approximators. However, the policies trained on stationary environments suffer in terms of generalization when…

The paper explores the use of Deep Reinforcement Learning (DRL) in stock market trading, focusing on two algorithms: Double Deep Q-Network (DDQN) and Proximal Policy Optimization (PPO) and compares them with Buy and Hold benchmark. It…

In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved by deep learning…

Market making (MM) is an important research topic in quantitative finance, the agent needs to continuously optimize ask and bid quotes to provide liquidity and make profits. The limit order book (LOB) contains information on all active…

We develop a methodology that utilizes deep learning to simultaneously solve and estimate canonical continuous-time general equilibrium models in financial economics. We illustrate our method in two examples: (1) industrial dynamics of…

Markov decision processes (MDP) are a well-established model for sequential decision-making in the presence of probabilities. In robust MDP (RMDP), every action is associated with an uncertainty set of probability distributions, modelling…

This paper investigates model robustness in reinforcement learning (RL) to reduce the sim-to-real gap in practice. We adopt the framework of distributionally robust Markov decision processes (RMDPs), aimed at learning a policy that…

Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et…

Quantitative markets are characterized by swift dynamics and abundant uncertainties, making the pursuit of profit-driven stock trading actions inherently challenging. Within this context, reinforcement learning (RL), which operates on a…

In this paper we consider the basic version of Reinforcement Learning (RL) that involves computing optimal data driven (adaptive) policies for Markovian decision process with unknown transition probabilities. We provide a brief survey of…

Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset…

In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic allocation task whose objective is the optimal placement of market…

This paper seeks to establish a framework for directing a society of simple, specialized, self-interested agents to solve what traditionally are posed as monolithic single-agent sequential decision problems. What makes it challenging to use…

We consider a dynamic multichannel access problem, where multiple correlated channels follow an unknown joint Markov model. A user at each time slot selects a channel to transmit data and receives a reward based on the success or failure of…