AUTHOR=Nagy Peer , Calliess Jan-Peter , Zohren Stefan TITLE=Asynchronous Deep Double Dueling Q-learning for trading-signal execution in limit order book markets JOURNAL=Frontiers in Artificial Intelligence VOLUME=6 YEAR=2023 URL=https://www.frontiersin.org/journals/artificial-intelligence/articles/10.3389/frai.2023.1151003 DOI=10.3389/frai.2023.1151003 ISSN=2624-8212 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 utilize it to simulate a realistic trading environment for NASDAQ equities based on historic order book messages. To train a trading agent that learns to maximize its trading return in this environment, we use Deep Dueling Double Q-learning with the APEX (asynchronous prioritized 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 utilizing 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.