# Revisiting Ensemble Methods for Stock Trading and Crypto Trading Tasks at ACM ICAIF FinRL Contest 2023-2024

arXiv: https://arxiv.org/abs/2501.10709 · HTML: https://mlsanity.com/paper/2501.10709/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Placed in Adversarial robustness and RL in finance, one of 15 directions in Deep reinforcement learning methods.
- Builds on 17 of its 32 references that are in the map.
- First posted on arXiv 18 Jan 2025.

## Placed in

- Deep reinforcement learning methods / [Adversarial robustness and RL in finance](https://mlsanity.com/deeprl/adversarial-robustness-and-rl-in-finance/)

## Builds on (most cited first, 17 of 17)

- [Proximal Policy Optimization Algorithms](https://mlsanity.com/paper/1707.06347/) (2017)
- [Direct Preference Optimization: Your Language Model is Secretly a Reward Model](https://mlsanity.com/paper/2305.18290/) (2023)
- [Soft Actor-Critic: Off-Policy Maximum Entropy Deep Reinforcement Learning with a Stochastic Actor](https://mlsanity.com/paper/1801.01290/) (2018)
- [Addressing Function Approximation Error in Actor-Critic Methods](https://mlsanity.com/paper/1802.09477/) (2018)
- [Deep Reinforcement Learning with Double Q-learning](https://mlsanity.com/paper/1509.06461/) (2015)
- [Dueling Network Architectures for Deep Reinforcement Learning](https://mlsanity.com/paper/1511.06581/) (2015)
- [Deep Reinforcement Learning that Matters](https://mlsanity.com/paper/1709.06560/) (2017)
- [Monte Carlo Gradient Estimation in Machine Learning](https://mlsanity.com/paper/1906.10652/) (2019)
- [Recent Advances in Reinforcement Learning in Finance](https://mlsanity.com/paper/2112.04553/) (2021)
- [Deep Reinforcement Learning for Trading](https://mlsanity.com/paper/1911.10107/) (2019)
- [FinRL: Deep Reinforcement Learning Framework to Automate Trading in Quantitative Finance](https://mlsanity.com/paper/2111.09395/) (2021)
- [Measuring the Reliability of Reinforcement Learning Algorithms](https://mlsanity.com/paper/1912.05663/) (2019)
- [Practical Deep Reinforcement Learning Approach for Stock Trading](https://mlsanity.com/paper/1811.07522/) (2018)
- [ABIDES-Gym: Gym Environments for Multi-Agent Discrete Event Simulation and Application to Financial Markets](https://mlsanity.com/paper/2110.14771/) (2021)
- [Dynamic Datasets and Market Environments for Financial Reinforcement Learning](https://mlsanity.com/paper/2304.13174/) (2023)
- [JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading](https://mlsanity.com/paper/2308.13289/) (2023)
- [Option Hedging with Risk Averse Reinforcement Learning](https://mlsanity.com/paper/2010.12245/) (2020)

## Abstract (arXiv)

Reinforcement learning has demonstrated great potential for performing financial tasks. However, it faces two major challenges: policy instability and sampling bottlenecks. In this paper, we revisit ensemble methods with massively parallel simulations on graphics processing units (GPUs), significantly enhancing the computational efficiency and robustness of trained models in volatile financial markets. Our approach leverages the parallel processing capability of GPUs to significantly improve the sampling speed for training ensemble models. The ensemble models combine the strengths of component agents to improve the robustness of financial decision-making strategies. We conduct experiments in both stock and cryptocurrency trading tasks to evaluate the effectiveness of our approach. Massively parallel simulation on a single GPU improves the sampling speed by up to 1,746× using 2,048 parallel environments compared to a single environment. The ensemble models have high cumulative returns and outperform some individual agents, reducing maximum drawdown by up to 4.17% and improving the Sharpe ratio by up to 0.21. This paper describes trading tasks at ACM ICAIF FinRL Contests in 2023 and 2024.