Cooperative Multi-Agent Reinforcement Learning Framework for Scalping
  Trading
  We explore deep Reinforcement Learning(RL) algorithms for scalping trading
and knew that there is no appropriate trading gym and agent examples. Thus we
propose gym and agent like Open AI gym in finance. Not only that, we introduce
new RL framework based on our hybrid algorithm which leverages between
supervised learning and RL algorithm and uses meaningful observations such
order book and settlement data from experience watching scalpers trading. That
is very crucial information for traders behavior to be decided. To feed these
data into our model, we use spatio-temporal convolution layer, called Conv3D
for order book data and temporal CNN, called Conv1D for settlement data. Those
are preprocessed by episode filter we developed. Agent consists of four sub
agents divided to clarify their own goal to make best decision. Also, we
adopted value and policy based algorithm to our framework. With these features,
we could make agent mimic scalpers as much as possible. In many fields, RL
algorithm has already begun to transcend human capabilities in many domains.
This approach could be a starting point to beat human in the financial stock
market, too and be a good reference for anyone who wants to design RL algorithm
in real world domain. Finally, weexperiment our framework and gave you
experiment progress.
