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Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the…
As deep reinforcement learning (DRL) has been recognized as an effective approach in quantitative finance, getting hands-on experiences is attractive to beginners. However, to train a practical DRL trading agent that decides where to trade,…
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with…
Classical portfolio optimization often requires forecasting asset returns and their corresponding variances in spite of the low signal-to-noise ratio provided in the financial markets. Modern deep reinforcement learning (DRL) offers a…
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…
Machine learning techniques are playing more and more important roles in finance market investment. However, finance quantitative modeling with conventional supervised learning approaches has a number of limitations. The development of deep…
Recent deep reinforcement learning (DRL) methods in finance show promising outcomes. However, there is limited research examining the behavior of these DRL algorithms. This paper aims to investigate their tendencies towards holding or…
With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
Algorithmic stock trading has become a staple in today's financial market, the majority of trades being now fully automated. Deep Reinforcement Learning (DRL) agents proved to be to a force to be reckon with in many complex games like Chess…
In many reinforcement learning applications, the underlying environment reward and transition functions are explicitly known differentiable functions. This enables us to use recent research which applies machine learning tools to stochastic…
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be framed as a sequential decision problem; thus, Reinforcement…
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…
Generating asset-specific trading signals based on the financial conditions of the assets is one of the challenging problems in automated trading. Various asset trading rules are proposed experimentally based on different technical analysis…
Can an agent learn efficiently in a noisy and self adapting environment with sequential, non-stationary and non-homogeneous observations? Through trading bots, we illustrate how Deep Reinforcement Learning (DRL) can tackle this challenge.…
Reinforcement learning (RL) is a subfield of machine learning that has been used in many fields, such as robotics, gaming, and autonomous systems. There has been growing interest in using RL for quantitative trading, where the goal is to…
The realm of High-Frequency Trading (HFT) is characterized by rapid decision-making processes that capitalize on fleeting market inefficiencies. As the financial markets become increasingly competitive, there is a pressing need for…
This scientific research paper presents an innovative approach based on deep reinforcement learning (DRL) to solve the algorithmic trading problem of determining the optimal trading position at any point in time during a trading activity in…
This study presents a Reinforcement Learning (RL)-based portfolio management model tailored for high-risk environments, addressing the limitations of traditional RL models and exploiting market opportunities through two-sided transactions…
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 (DRL) has shown huge potentials in building financial market simulators recently. However, due to the highly complex and dynamic nature of real-world markets, raw historical financial data often involve large…