Model-based Reinforcement Learning for Predictions and Control for Limit Order Books
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Abstract (arXiv)
We build a profitable electronic trading agent with Reinforcement Learning that places buy and sell orders in the stock market. An environment model is built only with historical observational data, and the RL agent learns the trading policy by interacting with the environment model instead of with the real-market to minimize the risk and potential monetary loss. Trained in unsupervised and self-supervised fashion, our environment model learned a temporal and causal representation of the market in latent space through deep neural networks. We demonstrate that the trading policy trained entirely within the environment model can be transferred back into the real market and maintain its profitability. We believe that this environment model can serve as a robust simulator that predicts market movement as well as trade impact for further studies.
Key facts. Cited by 14 papers in the map (data through 14 Oct 2026). First posted on arXiv 9 Oct 2019.
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Citing papers per year: 2021: 3; 2022: 0; 2023: 3; 2024: 5; 2025: 2; 2026: 1.
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- 2021Recent Advances in Reinforcement Learning in Financecited by 110
- 2021Towards Realistic Market Simulations: a Generative Adversarial Networks Approachcited by 29
- 2024A Review of Reinforcement Learning in Financial Applicationscited by 13
- 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Surveycited by 11
- 2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Unitscited by 10
- 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Marketscited by 3
- 2023Microstructure-Empowered Stock Factor Extraction and Utilizationcited by 2
- 2023Market Making with Deep Reinforcement Learning from Limit Order Bookscited by 1
- 2024Optimistic Regret Bounds for Online Learning in Adversarial Markov Decision Processescited by 1
- 2024Pretraining with random noise for uncertainty calibrationcited by 1
- 2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDEcited by 1
- 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learningcited by 0
- 2026DeepSeekMath Meets Order Book: Group-Aware Policy Optimization for High-Frequency Directional Trading25 May 2026
- 2025The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents14 Oct 2025
- 2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE12 Aug 2025
- 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learning23 Dec 2024
- 2024Pretraining with random noise for uncertainty calibration23 Dec 2024
- 2024A Review of Reinforcement Learning in Financial Applications1 Nov 2024
- 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Survey20 Aug 2024
- 2024Optimistic Regret Bounds for Online Learning in Adversarial Markov Decision Processes3 May 2024
- 2023Microstructure-Empowered Stock Factor Extraction and Utilization16 Aug 2023
- 2023Market Making with Deep Reinforcement Learning from Limit Order Books25 May 2023
- 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets20 Jan 2023
- 2021Recent Advances in Reinforcement Learning in Finance8 Dec 2021
- 2024A Review of Reinforcement Learning in Financial Applicationscited by 13
- 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Surveycited by 11
- 2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDEcited by 1
- 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learningcited by 0
- 2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE12 Aug 2025
- 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learning23 Dec 2024
- 2024A Review of Reinforcement Learning in Financial Applications1 Nov 2024
- 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Survey20 Aug 2024
- 2021Recent Advances in Reinforcement Learning in Financecited by 110
- 2021Towards Realistic Market Simulations: a Generative Adversarial Networks Approachcited by 29
- 2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Unitscited by 10
- 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Marketscited by 3
- 2023Microstructure-Empowered Stock Factor Extraction and Utilizationcited by 2
- 2023Market Making with Deep Reinforcement Learning from Limit Order Bookscited by 1
- 2024Optimistic Regret Bounds for Online Learning in Adversarial Markov Decision Processescited by 1
- 2024Pretraining with random noise for uncertainty calibrationcited by 1
- 2025The Invisible Handshake: Persistent Overpricing by Adaptive Market Agentscited by 0
- 2026DeepSeekMath Meets Order Book: Group-Aware Policy Optimization for High-Frequency Directional Tradingcited by 0
- 2026DeepSeekMath Meets Order Book: Group-Aware Policy Optimization for High-Frequency Directional Trading25 May 2026
- 2025The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents14 Oct 2025
- 2024Pretraining with random noise for uncertainty calibration23 Dec 2024
- 2024Optimistic Regret Bounds for Online Learning in Adversarial Markov Decision Processes3 May 2024
- 2023Microstructure-Empowered Stock Factor Extraction and Utilization16 Aug 2023
- 2023Market Making with Deep Reinforcement Learning from Limit Order Books25 May 2023
- 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets20 Jan 2023
- 2021Recent Advances in Reinforcement Learning in Finance8 Dec 2021
- 2021Towards Realistic Market Simulations: a Generative Adversarial Networks Approach25 Oct 2021
- 2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units21 May 2021