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FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance

19 Nov 2020arXiv:2011.09607archive 2025-07-28

Xiao-Yang Liu, Hongyang Yang, Qian Chen, Runjia Zhang, Liuqing Yang, Bowen Xiao, Christina Dan Wang

As deep reinforcement learning (DRL) has been recognized as an effective approach in quantitative finance, getting hands-on experiences is attractive to beginners. However, to train a practical DRL trading agent that decides where to trade, at what price, and what quantity involves error-prone and arduous development and debugging. In this paper, we introduce a DRL library FinRL that facilitates beginners to expose themselves to quantitative finance and to develop their own stock trading strategies. Along with easily-reproducible tutorials, FinRL library allows users to streamline their own developments and to compare with existing schemes easily. Within FinRL, virtual environments are configured with stock market datasets, trading agents are trained with neural networks, and extensive backtesting is analyzed via trading performance. Moreover, it incorporates important trading constraints such as transaction cost, market liquidity and the investor's degree of risk-aversion. FinRL is featured with completeness, hands-on tutorial and reproducibility that favors beginners: (i) at multiple levels of time granularity, FinRL simulates trading environments across various stock markets, including NASDAQ-100, DJIA, S&P 500, HSI, SSE 50, and CSI 300; (ii) organized in a layered architecture with modular structure, FinRL provides fine-tuned state-of-the-art DRL algorithms (DQN, DDPG, PPO, SAC, A2C, TD3, etc.), commonly-used reward functions and standard evaluation baselines to alleviate the debugging workloads and promote the reproducibility, and (iii) being highly extendable, FinRL reserves a complete set of user-import interfaces. Furthermore, we incorporated three application demonstrations, namely single stock trading, multiple stock trading, and portfolio allocation. The FinRL library will be available on Github at link https://github.com/AI4Finance-LLC/FinRL-Library.

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Code

AI4Finance-Foundation/FinRL officialmentioned on GitHubtfMIT report
19910101bacon/FinRL_v3 mentioned on GitHubpytorch report
forrestneo/FinRL-pytorch-tushare mentioned on GitHubpytorch report
hhf1357924680/RL-FIN mentioned on GitHubpytorch report
polixir/NeoRL mentioned on GitHub report

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Tasks

Deep Reinforcement LearningReinforcement Learning (RL)Stock Market Predictionreinforcement-learning

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1x1 ConvolutionA2CAdamAverage PoolingBatch NormalizationClipped Double Q-learningConvolutionDDPGDense ConnectionsDilated ConvolutionEntropy RegularizationExperience ReplayGlobal Average PoolingPPOReLUSACSSETD3Target Policy SmoothingWeight Decay

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