Alexander Kirnasov, Russian Federation

We introduce a new approach of Reinforcement Learning Application for High Frequency Trading called Quantum Reinforcement Learning as our agent learns to react on ‘quantum’ individual events in Limit Order Book – single Limit Order Book updates and singletrade (andoptionally single Order sifprovided by Exchange). Weclaim that such level of learning granularity allow souragent to find optimal trading strategies by on-line modeling of Market Microstructure with a maximum rate and precision.

Deep Reinforcement Learning, High Frequency Trading