Quantum Reinforcement Learning for High Frequency Trading

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 single trades (and optionally single Orders if provided by Exchange). We claim that such level of learning granularity allows our agent to find optimal trading strategies by on-line modeling of Market Microstructure with a maximum rate and precision.