mlsanityData to 7 Oct 2026

Deep Reinforcement Learning for Active High Frequency Trading

arXiv 2101.07107 ↗First posted 18 Jan 2021cs.LG cs.AI cs.MAcited by 21

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Abstract (arXiv)

We introduce the first end-to-end Deep Reinforcement Learning (DRL) based framework for active high frequency trading in the stock market. We train DRL agents to trade one unit of Intel Corporation stock by employing the Proximal Policy Optimization algorithm. The training is performed on three contiguous months of high frequency Limit Order Book data, of which the last month constitutes the validation data. In order to maximise the signal to noise ratio in the training data, we compose the latter by only selecting training samples with largest price changes. The test is then carried out on the following month of data. Hyperparameters are tuned using the Sequential Model Based Optimization technique. We consider three different state characterizations, which differ in their LOB-based meta-features. Analysing the agents' performances on test data, we argue that the agents are able to create a dynamic representation of the underlying environment. They identify occasional regularities present in the data and exploit them to create long-term profitable trading strategies. Indeed, agents learn trading strategies able to produce stable positive returns in spite of the highly stochastic and non-stationary environment.

Key facts. Cited by 21 papers in the map (data through 7 Oct 2026). Builds on 14 of its 57 references that are in the map. First posted on arXiv 18 Jan 2021.

Builds on

14 of 57 references.

References · 14

  1. 2014Adam: A Method for Stochastic Optimizationcited by 36,960
  2. 2017Proximal Policy Optimization Algorithmscited by 14,441
  3. 2016OpenAI Gymcited by 1,684
  4. 2017A Brief Survey of Deep Reinforcement Learningcited by 466
  5. 2017Deep Reinforcement Learning: An Overviewcited by 327
  6. 2013Risk-sensitive Reinforcement Learningcited by 129
  7. 2019Deep Reinforcement Learning for Tradingcited by 73
  8. 2018Universal features of price formation in financial markets: perspectives from Deep Learningcited by 59
  9. 2016Cryptocurrency Portfolio Management with Deep Reinforcement Learningcited by 31
  10. 2019ABIDES: Towards High-Fidelity Market Simulation for AI Researchcited by 31
  11. 2020An Application of Deep Reinforcement Learning to Algorithmic Tradingcited by 30
  12. 2019How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?cited by 15
2 more
  1. 2020Deep Learning modeling of Limit Order Book: a comparative perspectivecited by 11
  2. 2020Deep Learning for Portfolio Optimizationcited by 4

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Cited by year (2026 to 7 Oct)

Citing papers per year: 2021: 2; 2022: 1; 2023: 2; 2024: 5; 2025: 9; 2026: 2.

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  1. 2025Time Travel is Cheating: Going Live with DeepFund for Real-Time Fund Investment Benchmarkingcited by 21
  2. 2025LiveTradeBench: Seeking Real-World Alpha with Large Language Modelscited by 13
  3. 2024The Evolution of Reinforcement Learning in Quantitative Finance: A Surveycited by 11
  4. 2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Unitscited by 10
  5. 2021Deep Learning for Market by Order Datacited by 8
  6. 2024HLOB -- Information Persistence and Structure in Limit Order Bookscited by 8
  7. 2024Deep Limit Order Book Forecastingcited by 7
  8. 2024MacroHFT: Memory Augmented Context-aware Reinforcement Learning On High Frequency Tradingcited by 7
  9. 2022Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-seriescited by 5
  10. 2025Will LLMs be Professional at Fund Investment? DeepFund: A Live Arena Perspectivecited by 4
  11. 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Marketscited by 3
  12. 2025FlowHFT: Imitation Learning via Flow Matching Policy for Optimal High-Frequency Trading under Diverse Market Conditionscited by 3
9 more
  1. 2023Market Making with Deep Reinforcement Learning from Limit Order Bookscited by 1
  2. 2025"So, Tell Me About Your Policy...": Distillation of interpretable policies from Deep Reinforcement Learning agentscited by 1
  3. 2025Deep reinforcement learning for optimal trading with partial informationcited by 1
  4. 2025FineFT: Efficient and Risk-Aware Ensemble Reinforcement Learning for Futures Tradingcited by 1
  5. 2024Trading Devil RL: Backdoor attack via Stock market, Bayesian Optimization and Reinforcement Learningcited by 0
  6. 2025Your Offline Policy is Not Trustworthy: Bilevel Reinforcement Learning for Sequential Portfolio Optimizationcited by 0
  7. 2025Deep Reinforcement Learning in Factor Investmentcited by 0
  8. 2026ViperQ: Order Flow Pattern Recognition via Auction Market Theory for Reinforcement Learning Tradingcited by 0
  9. 2026SOTA: Stock Options Trading Agents Guided by Option-Implied Return Distributionscited by 0