Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets

• URL: http://arxiv.org/abs/2301.08688v2
• Date: Mon, 25 Sep 2023 15:57:24 GMT
• Title: Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
• Authors: Peer Nagy, Jan-Peter Calliess and Stefan Zohren
• Abstract summary: We employ deep reinforcement learning to train an agent to 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 reinforcement learning OpenAI gym environment. We find that the RL agent learns an effective trading strategy for inventory management and order placing that outperforms a benchmark trading strategy having access to the same signal.
• Score: 5.202524136984542
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: 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 reinforcement learning OpenAI gym environment and utilise it to simulate a realistic trading environment for NASDAQ equities based on historic order book messages. To train a trading agent that learns to maximise its trading return in this environment, we use Deep Duelling Double Q-learning with the APEX (asynchronous prioritised experience replay) architecture. The agent observes the current limit order book state, its recent history, and a short-term directional forecast. To investigate the performance of RL for adaptive trading independently from a concrete forecasting algorithm, we study the performance of our approach utilising synthetic alpha signals obtained by perturbing forward-looking returns with varying levels of noise. Here, we find that the RL agent learns an effective trading strategy for inventory management and order placing that outperforms a heuristic benchmark trading strategy having access to the same signal.

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