Reinforcement Learning for Quantitative Trading.

Quantitative trading (QT), which refers to the usage of mathematical models and data-driven techniques in analyzing the financial market, has been a popular topic in both academia and financial industry since 1970s. In the last decade, reinforcement learning (RL) has garnered significant interest in many domains such as robotics and video games, owing to its outstanding ability on solving complex sequential decision making problems. RL's impact is pervasive, recently demonstrating its ability to conquer many challenging QT tasks. It is a flourishing research direction to explore RL techniques' potential on QT tasks. This paper aims at providing a comprehensive survey of research efforts on RL-based methods for QT tasks. More concretely, we devise a taxonomy of RL-based QT models, along with a comprehensive summary of the state of the art. Finally, we discuss current challenges and propose future research directions in this exciting field. [ABSTRACT FROM AUTHOR]

Copyright of ACM Transactions on Intelligent Systems & Technology is the property of Association for Computing Machinery and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)