{"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/towards-generalizable-reinforcement-learning","title":"Towards Generalizable Reinforcement Learning for Trade Execution","arxiv_id":"2307.11685","date":"2023-05-12","proceeding":null,"authors":["Chuheng Zhang","Yitong Duan","Xiaoyu Chen","Jianyu Chen","Jian Li","Li Zhao"],"abstract":"Optimized trade execution is to sell (or buy) a given amount of assets in a given time with the lowest possible trading cost. Recently, reinforcement learning (RL) has been applied to optimized trade execution to learn smarter policies from market data. However, we find that many existing RL methods exhibit considerable overfitting which prevents them from real deployment. In this paper, we provide an extensive study on the overfitting problem in optimized trade execution. First, we model the optimized trade execution as offline RL with dynamic context (ORDC), where the context represents market variables that cannot be influenced by the trading policy and are collected in an offline manner. Under this framework, we derive the generalization bound and find that the overfitting issue is caused by large context space and limited context samples in the offline setting. Accordingly, we propose to learn compact representations for context to address the overfitting problem, either by leveraging prior knowledge or in an end-to-end manner. To evaluate our algorithms, we also implement a carefully designed simulator based on historical limit order book (LOB) data to provide a high-fidelity benchmark for different algorithms. Our experiments on the high-fidelity simulator demonstrate that our algorithms can effectively alleviate overfitting and achieve better performance.","url_abs":"https://arxiv.org/abs/2307.11685v1","url_pdf":"https://arxiv.org/pdf/2307.11685v1.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":[],"tasks":[{"task_slug":"offline-rl","task_name":"Offline RL"},{"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":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2307.11685","mcp":{"get_harvested_code_for_paper":{"arxiv_id":"2307.11685"}},"developers":"https://syntology.ai/developers","read_at":"2026-09-24T18:15:14+00:00","read_at_is":"when the build read Syntology's graph, not when any sample ran","claim":"Per-sample execution status on synthesized fixtures; not a correctness claim about the paper. Samples come from repositories linked to the paper, official or community; repo_kind says which.","repos":[{"provenance":"deterministic:regex_extraction","url":"https://github.com/zhangchuheng123/RL4Execution","reach":null}],"summary":{"ran":1},"by_repo_kind":{"found_in_text":{"samples":1,"ran":1,"repositories":1}},"repo_kind_vocabulary":{"official":"The archive marks this repository official for the paper","named_in_paper":"The archive records that the paper mentions this repository; it is not marked official","listed":"In the archive's code links for this paper, not marked official and not recorded as mentioned in the paper","found_in_text":"Syntology found this repository in the paper's own text; whether it is the authors' implementation is not asserted","community":"Not in the archive's code links for this paper; a community repository Syntology harvested"},"n_pointer_only_for_licence":1,"samples":[{"code_sha256_prefix":"875c961ba78603c3","entry":"MLPNetwork","repo":"zhangchuheng123/RL4Execution","repo_kind":"found_in_text","path":"code/policy_cate.py","file_url":"https://github.com/zhangchuheng123/RL4Execution/blob/HEAD/code/policy_cate.py","link_basis":"first_harvest_node","language":"python","status":"ran","verification_level":1,"contract_check":null,"metamorphic_tier":"deterministic","behaviour_fingerprint":false,"licence":"NONE","inline_ok":false,"mcp_get_code":{"code_sha256":"875c961ba78603c3"}}]},"arxiv_metadata":null,"syntology_extracted_results":null}