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We present results demonstrating that an appropriately configured deep learning neural network (DLNN) can automatically learn to be a high-performing algorithmic trading system, operating purely from training-data inputs generated by…

Trading and Market Microstructure · Quantitative Finance 2020-12-03 Aaron Wray , Matthew Meades , Dave Cliff

We introduce a novel approach to options trading strategies using a highly scalable and data-driven machine learning algorithm. In contrast to traditional approaches that often require specifications of underlying market dynamics or…

Portfolio Management · Quantitative Finance 2024-11-22 Wee Ling Tan , Stephen Roberts , Stefan Zohren

In general, traders test their trading strategies by applying them on the historical market data (backtesting), and then apply to the future trades the strategy that achieved the maximum profit on such past data. In this paper, we propose a…

Trading and Market Microstructure · Quantitative Finance 2022-10-24 Ivan Letteri , Giuseppe Della Penna , Giovanni De Gasperis , Abeer Dyoub

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that…

Computational Engineering, Finance, and Science · Computer Science 2018-11-08 Arthur le Calvez , Dave Cliff

We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatility scaling is incorporated to create reward functions which…

Computational Finance · Quantitative Finance 2019-11-25 Zihao Zhang , Stefan Zohren , Stephen Roberts

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 · Computer Science 2023-08-22 Antonio Briola , Jeremy Turiel , Riccardo Marcaccioli , Alvaro Cauderan , Tomaso Aste

There has been a recent surge in interest in the application of artificial intelligence to automated trading. Reinforcement learning has been applied to single- and multi-instrument use cases, such as market making or portfolio management.…

Trading and Market Microstructure · Quantitative Finance 2020-04-16 Jonathan Sadighian

Traditional Long Short-Term Memory (LSTM) networks are effective for handling sequential data but have limitations such as gradient vanishing and difficulty in capturing long-term dependencies, which can impact their performance in dynamic…

Computational Engineering, Finance, and Science · Computer Science 2026-04-29 Faezeh Sarlakifar , Mohammadreza Mohammadzadeh Asl , Sajjad Rezvani Khaledi , Armin Salimi-Badr

This paper proposes a Deep Reinforcement Learning algorithm for financial portfolio trading based on Deep Q-learning. The algorithm is capable of trading high-dimensional portfolios from cross-sectional datasets of any size which may…

Portfolio Management · Quantitative Finance 2021-12-10 Uta Pigorsch , Sebastian Schäfer

We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders. Based on the ABIDES limit order book simulator, we build a…

Trading and Market Microstructure · Quantitative Finance 2023-09-27 Peer Nagy , Jan-Peter Calliess , Stefan Zohren

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…

Trading and Market Microstructure · Quantitative Finance 2021-06-17 Ali Hirsa , Joerg Osterrieder , Branka Hadji-Misheva , Jan-Alexander Posth

We present a deep long short-term memory (LSTM)-based neural network for predicting asset prices, together with a successful trading strategy for generating profits based on the model's predictions. Our work is motivated by the fact that…

Statistical Finance · Quantitative Finance 2019-05-09 Chariton Chalvatzis , Dimitrios Hristu-Varsakelis

Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep…

Machine Learning · Computer Science 2025-04-22 Kasymkhan Khubiev , Mikhail Semenov

Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a…

Trading and Market Microstructure · Quantitative Finance 2020-06-09 Brian Ning , Franco Ho Ting Lin , Sebastian Jaimungal

In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…

Trading and Market Microstructure · Quantitative Finance 2021-12-17 Koya Ishikawa , Kazuhide Nakata

The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits from future trades. This task embodies…

Risk Management · Quantitative Finance 2019-11-19 Yaodong Yang , Alisa Kolesnikova , Stefan Lessmann , Tiejun Ma , Ming-Chien Sung , Johnnie E. V. Johnson

Option pricing is a significant problem for option risk management and trading. In this article, we utilize a framework to present financial data from different sources. The data is processed and represented in a form of 2D tensors in three…

Computational Finance · Quantitative Finance 2021-09-24 Muyang Ge , Shen Zhou , Shijun Luo , Boping Tian

Phishing attacks in Web3 ecosystems are increasingly sophisticated, exploiting deceptive contract logic, malicious frontend scripts, and token approval patterns. We present DeepTx, a real-time transaction analysis system that detects such…

Cryptography and Security · Computer Science 2025-10-27 Yixuan Liu , Xinlei Li , Yi Li

Deep learning is an effective approach to solving image recognition problems. People draw intuitive conclusions from trading charts; this study uses the characteristics of deep learning to train computers in imitating this kind of intuition…

Computational Engineering, Finance, and Science · Computer Science 2018-01-10 Yun-Cheng Tsai , Jun-Hao Chen , Jun-Jie Wang

More and more stock trading strategies are constructed using deep reinforcement learning (DRL) algorithms, but DRL methods originally widely used in the gaming community are not directly adaptable to financial data with low signal-to-noise…

Computational Finance · Quantitative Finance 2023-07-27 Jie Zou , Jiashu Lou , Baohua Wang , Sixue Liu
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