HRT is a bi-level RL framework with a sparse high-level controller for asset direction selection from signals and a risk-aware low-level controller for weight adjustments, reporting Sharpe 1.24 and turnover 0.090 on 2020-2023 Nasdaq data.
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Hierarchical Reinforced Trader (HRT): A Bi-Level Approach for Optimizing Stock Selection and Execution
HRT is a bi-level RL framework with a sparse high-level controller for asset direction selection from signals and a risk-aware low-level controller for weight adjustments, reporting Sharpe 1.24 and turnover 0.090 on 2020-2023 Nasdaq data.