Fairness in Multi-agent Reinforcement Learning for Stock Trading

Understand

Unfair stock trading strategies have been shown to be one of the most negative perceptions that customers can have concerning trading and may result in long-term losses for a company.

• Investment banks usually place trading orders for multiple clients with the same target assets but different order sizes and diverse requirements such as time frame and risk aversion level, thereby total earning and individual earning cannot be optimized at the same time.
• Orders executed earlier would affect the market price level, so late execution usually means additional implementation cost.
• In this paper, we propose a novel scheme that utilizes multi-agent reinforcement learning systems to derive stock trading strategies for all clients which keep a balance between revenue and fairness.