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.
翻译:量化贸易(QT)是指数学模型和数据驱动技术在分析金融市场中的使用,自1970年代以来一直是学术界和金融业的一个流行话题,过去十年来,强化学习(RL)在机器人和视频游戏等许多领域引起了极大兴趣,因为它在解决复杂的连续决策问题方面表现出色。RL的影响十分普遍,最近表明它有能力克服许多具有挑战性的量化技术任务。这是一个蓬勃的研究方向,可以探索在量化技术任务方面RL技术的潜力。本文件旨在全面调查基于RL的QT任务方法的研究工作。更具体地说,我们设计了基于RL的QT模型的分类,并全面总结了该技术的现状。最后,我们讨论了当前的挑战,并提出了这一令人振奋的领域中的未来研究方向。