AUTHOR=Qiu Yifu , Qiu Yitao , Yuan Yicong , Chen Zheng , Lee Raymond TITLE=QF-TraderNet: Intraday Trading via Deep Reinforcement With Quantum Price Levels Based Profit-And-Loss Control JOURNAL=Frontiers in Artificial Intelligence VOLUME=4 YEAR=2021 URL=https://www.frontiersin.org/journals/artificial-intelligence/articles/10.3389/frai.2021.749878 DOI=10.3389/frai.2021.749878 ISSN=2624-8212 ABSTRACT=

Reinforcement Learning (RL) based machine trading attracts a rich profusion of interest. However, in the existing research, RL in the day-trade task suffers from the noisy financial movement in the short time scale, difficulty in order settlement, and expensive action search in a continuous-value space. This paper introduced an end-to-end RL intraday trading agent, namely QF-TraderNet, based on the quantum finance theory (QFT) and deep reinforcement learning. We proposed a novel design for the intraday RL trader’s action space, inspired by the Quantum Price Levels (QPLs). Our action space design also brings the model a learnable profit-and-loss control strategy. QF-TraderNet composes two neural networks: 1) A long short term memory networks for the feature learning of financial time series; 2) a policy generator network (PGN) for generating the distribution of actions. The profitability and robustness of QF-TraderNet have been verified in multi-type financial datasets, including FOREX, metals, crude oil, and financial indices. The experimental results demonstrate that QF-TraderNet outperforms other baselines in terms of cumulative price returns and Sharpe Ratio, and the robustness in the acceidential market shift.