DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations

Armand Cismaru

2024

Abstract

In this paper, we introduce DeepTraderX (DTX), a simple Deep Learning-based trader, and present results that demonstrate its performance in a multi-threaded market simulation. In a total of about 500 simulated market days, DTX has learned solely by watching the prices that other strategies produce. By doing this, it has successfully created a mapping from market data to quotes, either bid or ask orders, to place for an asset. Trained on historical Level-2 market data, i.e., the Limit Order Book (LOB) for specific tradable assets, DTX processes the market state S at each timestep T to determine a price P for market orders. The market data used in both training and testing was generated from unique market schedules based on real historic stock market data. DTX was tested extensively against the best strategies in the literature, with its results validated by statistical analysis. Our findings underscore DTX’s capability to rival, and in many instances, surpass, the performance of public-domain traders, including those that outclass human traders, emphasising the efficiency of simple models, as this is required to succeed in intricate multi-threaded simulations. This highlights the potential of leveraging ”black-box” Deep Learning systems to create more efficient financial markets.

Paper Citation

in Harvard Style

Cismaru A. (2024). DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations. In Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 3: ICAART; ISBN 978-989-758-680-4, SciTePress, pages 412-421. DOI: 10.5220/0012355100003636

in Bibtex Style

@conference{icaart24,
author={Armand Cismaru},
title={DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations},
booktitle={Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 3: ICAART},
year={2024},
pages={412-421},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012355100003636},
isbn={978-989-758-680-4},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 3: ICAART
TI - DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations
SN - 978-989-758-680-4
AU - Cismaru A.
PY - 2024
SP - 412
EP - 421
DO - 10.5220/0012355100003636
PB - SciTePress