Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review

• URL: http://arxiv.org/abs/2106.00123v1
• Date: Mon, 31 May 2021 22:26:43 GMT
• Title: Deep Reinforcement Learning in Quantitative Algorithmic Trading: A Review
• Authors: Tidor-Vlad Pricope
• Abstract summary: Deep Reinforcement Learning agents proved to be to a force to be reckon with in many games like Chess and Go. This paper reviews the progress made so far with deep reinforcement learning in the subdomain of AI in finance. We conclude that DRL in stock trading has showed huge applicability potential rivalling professional traders under strong assumptions.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: 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 and Go. We can look at the stock market historical price series and movements as a complex imperfect information environment in which we try to maximize return - profit and minimize risk. This paper reviews the progress made so far with deep reinforcement learning in the subdomain of AI in finance, more precisely, automated low-frequency quantitative stock trading. Many of the reviewed studies had only proof-of-concept ideals with experiments conducted in unrealistic settings and no real-time trading applications. For the majority of the works, despite all showing statistically significant improvements in performance compared to established baseline strategies, no decent profitability level was obtained. Furthermore, there is a lack of experimental testing in real-time, online trading platforms and a lack of meaningful comparisons between agents built on different types of DRL or human traders. We conclude that DRL in stock trading has showed huge applicability potential rivalling professional traders under strong assumptions, but the research is still in the very early stages of development.

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