Logic-Q: Improving Deep Reinforcement Learning-based Quantitative Trading via Program Sketch-based Tuning
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arXiv
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| Main Authors: | , , , , , , , |
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| Format: | Preprint |
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2023
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| _version_ | 1866929699287990272 |
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| author | Li, Zhiming Jiang, Junzhe Cao, Yushi Cui, Aixin Wu, Bozhi Li, Bo Liu, Yang Sun, Danny Dongning |
| author_facet | Li, Zhiming Jiang, Junzhe Cao, Yushi Cui, Aixin Wu, Bozhi Li, Bo Liu, Yang Sun, Danny Dongning |
| contents | Deep reinforcement learning (DRL) has revolutionized quantitative trading (Q-trading) by achieving decent performance without significant human expert knowledge. Despite its achievements, we observe that the current state-of-the-art DRL models are still ineffective in identifying the market trends, causing them to miss good trading opportunities or suffer from large drawdowns when encountering market crashes. To address this limitation, a natural approach is to incorporate human expert knowledge in identifying market trends. Whereas, such knowledge is abstract and hard to be quantified. In order to effectively leverage abstract human expert knowledge, in this paper, we propose a universal logic-guided deep reinforcement learning framework for Q-trading, called Logic-Q. In particular, Logic-Q adopts the program synthesis by sketching paradigm and introduces a logic-guided model design that leverages a lightweight, plug-and-play market trend-aware program sketch to determine the market trend and correspondingly adjusts the DRL policy in a post-hoc manner. Extensive evaluations of two popular quantitative trading tasks demonstrate that Logic-Q can significantly improve the performance of previous state-of-the-art DRL trading strategies. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2310_05551 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Logic-Q: Improving Deep Reinforcement Learning-based Quantitative Trading via Program Sketch-based Tuning Li, Zhiming Jiang, Junzhe Cao, Yushi Cui, Aixin Wu, Bozhi Li, Bo Liu, Yang Sun, Danny Dongning Computational Engineering, Finance, and Science Artificial Intelligence Programming Languages Deep reinforcement learning (DRL) has revolutionized quantitative trading (Q-trading) by achieving decent performance without significant human expert knowledge. Despite its achievements, we observe that the current state-of-the-art DRL models are still ineffective in identifying the market trends, causing them to miss good trading opportunities or suffer from large drawdowns when encountering market crashes. To address this limitation, a natural approach is to incorporate human expert knowledge in identifying market trends. Whereas, such knowledge is abstract and hard to be quantified. In order to effectively leverage abstract human expert knowledge, in this paper, we propose a universal logic-guided deep reinforcement learning framework for Q-trading, called Logic-Q. In particular, Logic-Q adopts the program synthesis by sketching paradigm and introduces a logic-guided model design that leverages a lightweight, plug-and-play market trend-aware program sketch to determine the market trend and correspondingly adjusts the DRL policy in a post-hoc manner. Extensive evaluations of two popular quantitative trading tasks demonstrate that Logic-Q can significantly improve the performance of previous state-of-the-art DRL trading strategies. |
| title | Logic-Q: Improving Deep Reinforcement Learning-based Quantitative Trading via Program Sketch-based Tuning |
| topic | Computational Engineering, Finance, and Science Artificial Intelligence Programming Languages |
| url | https://arxiv.org/abs/2310.05551 |