# Capturing Financial markets to apply Deep Reinforcement Learning

arXiv: https://arxiv.org/abs/1907.04373 · HTML: https://mlsanity.com/paper/1907.04373/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 9 Jul 2019.

## Built on by (most cited first, 3 of 3)

- [Deep Reinforcement Learning Approach for Trading Automation in The Stock Market](https://mlsanity.com/paper/2208.07165/) (2022)
- [Similarity metrics for Different Market Scenarios in Abides](https://mlsanity.com/paper/2107.09352/) (2021)
- [Deep Reinforcement Learning for Reliability Based Bi-Objective Portfolio Optimization](https://mlsanity.com/paper/2607.06610/) (2026)

## Abstract (arXiv)

In this paper we explore the usage of deep reinforcement learning algorithms to automatically generate consistently profitable, robust, uncorrelated trading signals in any general financial market. In order to do this, we present a novel Markov decision process (MDP) model to capture the financial trading markets. We review and propose various modifications to existing approaches and explore different techniques like the usage of technical indicators, to succinctly capture the market dynamics to model the markets. We then go on to use deep reinforcement learning to enable the agent (the algorithm) to learn how to take profitable trades in any market on its own, while suggesting various methodology changes and leveraging the unique representation of the FMDP (financial MDP) to tackle the primary challenges faced in similar works. Through our experimentation results, we go on to show that our model could be easily extended to two very different financial markets and generates a positively robust performance in all conducted experiments.