{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/deep-reinforcement-learning-with-function","title":"Deep Reinforcement Learning with Function Properties in Mean Reversion Strategies","arxiv_id":"2101.03418","date":"2021-01-09","proceeding":null,"authors":["Sophia Gu"],"abstract":"Over the past decades, researchers have been pushing the limits of Deep Reinforcement Learning (DRL). Although DRL has attracted substantial interest from practitioners, many are blocked by having to search through a plethora of available methodologies that are seemingly alike, while others are still building RL agents from scratch based on classical theories. To address the aforementioned gaps in adopting the latest DRL methods, I am particularly interested in testing out if any of the recent technology developed by the leads in the field can be readily applied to a class of optimal trading problems. Unsurprisingly, many prominent breakthroughs in DRL are investigated and tested on strategic games: from AlphaGo to AlphaStar and at about the same time, OpenAI Five. Thus, in this writing, I want to show precisely how to use a DRL library that is initially built for games in a fundamental trading problem; mean reversion. And by introducing a framework that incorporates economically-motivated function properties, I also demonstrate, through the library, a highly-performant and convergent DRL solution to decision-making financial problems in general.","url_abs":"https://arxiv.org/abs/2101.03418v3","url_pdf":"https://arxiv.org/pdf/2101.03418v3.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"deep-reinforcement-learning-with-function","repo_url":"https://github.com/sophiagu/RLF","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"tf","reach":null}],"tasks":[{"task_slug":"decision-making","task_name":"Decision Making"},{"task_slug":"deep-reinforcement-learning","task_name":"Deep Reinforcement Learning"},{"task_slug":"reinforcement-learning","task_name":"Reinforcement Learning"},{"task_slug":"reinforcement-learning-1","task_name":"Reinforcement Learning (RL)"},{"task_slug":"reinforcement-learning-2","task_name":"reinforcement-learning"}],"methods":[{"method_slug":"1x1-convolution","method_name":"1x1 Convolution"},{"method_slug":"am","method_name":"AM"},{"method_slug":"absolute-position-encodings","method_name":"Absolute Position Encodings"},{"method_slug":"accumulating-eligibility-trace","method_name":"Accumulating Eligibility Trace"},{"method_slug":"adam","method_name":"Adam"},{"method_slug":"alphastar","method_name":"AlphaStar"},{"method_slug":"attention","method_name":"Attention"},{"method_slug":"average-pooling","method_name":"Average Pooling"},{"method_slug":"bpe","method_name":"BPE"},{"method_slug":"batch-normalization","method_name":"Batch Normalization"},{"method_slug":"bottleneck-residual-block","method_name":"Bottleneck Residual Block"},{"method_slug":"convolution","method_name":"Convolution"},{"method_slug":"dense-connections","method_name":"Dense Connections"},{"method_slug":"dropout","method_name":"Dropout"},{"method_slug":"feedforward-network","method_name":"Feedforward Network"},{"method_slug":"glu","method_name":"Gated Linear Unit"},{"method_slug":"global-average-pooling","method_name":"Global Average Pooling"},{"method_slug":"kaiming-initialization","method_name":"Kaiming Initialization"},{"method_slug":"lstm","method_name":"LSTM"},{"method_slug":"label-smoothing","method_name":"Label Smoothing"},{"method_slug":"layer-normalization","method_name":"Layer Normalization"},{"method_slug":"linear-layer","method_name":"Linear Layer"},{"method_slug":"max-pooling","method_name":"Max Pooling"},{"method_slug":"multi-head-attention","method_name":"Multi-Head Attention"},{"method_slug":"pointer-net","method_name":"Pointer Network"},{"method_slug":"position-wise-feed-forward-layer","method_name":"Position-Wise Feed-Forward Layer"},{"method_slug":"relu","method_name":"ReLU"},{"method_slug":"residual-block","method_name":"Residual Block"},{"method_slug":"residual-connection","method_name":"Residual Connection"},{"method_slug":"scatter-connection","method_name":"Scatter Connection"},{"method_slug":"sigmoid-activation","method_name":"Sigmoid Activation"},{"method_slug":"softmax","method_name":"Softmax"},{"method_slug":"td-lambda","method_name":"TD Lambda"},{"method_slug":"tanh-activation","method_name":"Tanh Activation"},{"method_slug":"transformer","method_name":"Transformer"},{"method_slug":"v-trace","method_name":"V-trace"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}