PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets

• URL: http://arxiv.org/abs/2302.00586v1
• Date: Sat, 14 Jan 2023 06:39:03 GMT
• Title: PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets
• Authors: Shuo Sun and Molei Qin and Xinrun Wang and Bo An
• Abstract summary: reinforcement learning in financial markets (FinRL) emerges as a promising direction to train agents for making profitable investment decisions. The evaluation of most FinRL methods only focus on profit-related measures, which are far from satisfactory for practitioners to deploy these methods into real-world financial markets. We introduce PRUDEX-, which has 6 axes, i.e., Profitability, Risk-control, Universality, Diversity, rEliability, and eXplainability, with a total of 17 measures for a systematic evaluation.
• Score: 27.64555638859629
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: The financial markets, which involve more than $90 trillion in market capitalization, attract the attention of innumerable investors around the world. Recently, reinforcement learning in financial markets (FinRL) emerges as a promising direction to train agents for making profitable investment decisions. However, the evaluation of most FinRL methods only focus on profit-related measures, which are far from satisfactory for practitioners to deploy these methods into real-world financial markets. Therefore, we introduce PRUDEX-Compass, which has 6 axes, i.e., Profitability, Risk-control, Universality, Diversity, rEliability, and eXplainability, with a total of 17 measures for a systematic evaluation. Specifically, i) we propose AlphaMix+ as a strong FinRL baseline, which leverages Mixture-of-Experts (MoE) and risk-10 sensitive approaches to make diversified risk-aware investment decisions, ii) we11 evaluate 8 widely used FinRL methods in 4 long-term real-world datasets of influential financial markets to demonstrate the usage of our PRUDEX-Compass, iii) PRUDEX-Compass1 together with 4 real-world datasets, standard implementation of 8 FinRL methods and a portfolio management RL environment is released as public resources to facilitate the design and comparison of new FinRL methods. We hope that PRUDEX-Compass can shed light on future FinRL research to prevent untrustworthy results from stagnating FinRL into successful industry deployment.

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